Testing for Predictability in a Noninvertible ARMA Model
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- Lanne, Markku & Meitz, Mika & Saikkonen, Pentti, 2012. "Testing for predictability in a noninvertible ARMA model," MPRA Paper 37151, University Library of Munich, Germany.
References listed on IDEAS
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More about this item
KeywordsNon-Gaussian time series; noninvertible ARMA model; all-pass process.;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-30 (All new papers)
- NEP-ETS-2012-09-30 (Econometric Time Series)
- NEP-FOR-2012-09-30 (Forecasting)
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