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Testing for Equal Predictability of Stationary ARMA Processes

Listed author(s):
  • Edoardo Otrano
  • Umberto Triacca

In this work we use a measure of predictability of a time series following a stationary ARMA process to develop a test of equal predictability of two or more time series. The test is derived by a set of propositions which links the structure of the AR and MA coefficients to the predictability measure. A particular case of this general approach is constituted by time series having a Wold decomposition with weights having the same sign; in this framework the equal predictability is equivalent to parallelism among ARMA models and the null hypothesis of equal predictability is simply a set of linear restrictions. The ARMA representation of the GARCH models presents non-negative weights, so that this test can be extended to verify the equal predictability of squared time series following GARCH structures.

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Article provided by Taylor & Francis Journals in its journal Journal of Applied Statistics.

Volume (Year): 34 (2007)
Issue (Month): 9 ()
Pages: 1091-1108

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Handle: RePEc:taf:japsta:v:34:y:2007:i:9:p:1091-1108
DOI: 10.1080/02664760701592158
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