Testing for predictability in a noninvertible ARMA model
Download full text from publisher
Other versions of this item:
- Markku Lanne & Mika Meitz & Pentti Saikkonen, 2012. "Testing for Predictability in a Noninvertible ARMA Model," Koç University-TUSIAD Economic Research Forum Working Papers 1225, Koc University-TUSIAD Economic Research Forum.
References listed on IDEAS
- Nankervis, John C. & Savin, N. E., 2010. "Testing for Serial Correlation: Generalized Andrewsâ€“Ploberger Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(2), pages 246-255.
- Meitz, Mika & Saikkonen, Pentti, 2013.
"Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity,"
Journal of Multivariate Analysis,
Elsevier, vol. 114(C), pages 227-255.
- Mika Meitz & Pentti Saikkonen, 2012. "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity," Koç University-TUSIAD Economic Research Forum Working Papers 1226, Koc University-TUSIAD Economic Research Forum.
- Rongning Wu & Richard A. Davis, 2010. "Least absolute deviation estimation for general autoregressive moving average time-series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(2), pages 98-112, March.
- Lanne Markku & Saikkonen Pentti, 2011.
"Noncausal Autoregressions for Economic Time Series,"
Journal of Time Series Econometrics,
De Gruyter, vol. 3(3), pages 1-32, October.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal autoregressions for economic time series," MPRA Paper 32943, University Library of Munich, Germany.
- Taylor, Stephen J., 1982. "Tests of the Random Walk Hypothesis Against a Price-Trend Hypothesis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 37-61, March.
- Andrews, Beth & Davis, Richard A. & Jay Breidt, F., 2006. "Maximum likelihood estimation for all-pass time series models," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1638-1659, August.
- Robert B. Davies, 2002. "Hypothesis testing when a nuisance parameter is present only under the alternative: Linear model case," Biometrika, Biometrika Trust, vol. 89(2), pages 484-489, June.
- Poterba, James M. & Summers, Lawrence H., 1988.
"Mean reversion in stock prices : Evidence and Implications,"
Journal of Financial Economics,
Elsevier, vol. 22(1), pages 27-59, October.
- James M. Poterba & Lawrence H. Summers, 1987. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc.
- Breid, F. Jay & Davis, Richard A. & Lh, Keh-Shin & Rosenblatt, Murray, 1991. "Maximum likelihood estimation for noncausal autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 36(2), pages 175-198, February.
More about this item
KeywordsNon-Gaussian time series; noninvertible ARMA model; all-pass process; predictability of asset returns;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-03-14 (All new papers)
- NEP-ECM-2012-03-14 (Econometrics)
- NEP-ETS-2012-03-14 (Econometric Time Series)
- NEP-FOR-2012-03-14 (Forecasting)
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:37151. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.