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On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series

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  • Marc Hallin
  • Claude Lefèvre
  • Madan Lal Puri

Abstract

A recent result by Findley (1986) on the uniqueness of moving average representations for non-Gaussian time series is shown to establish a conjecture by Weiss (1975) on the time-reversibility of general linear processes. © 1988 Biometrika Trust.

Suggested Citation

  • Marc Hallin & Claude Lefèvre & Madan Lal Puri, 1988. "On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series," ULB Institutional Repository 2013/2017, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:ulb:ulbeco:2013/2017 Note: SCOPUS: ar.j
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    References listed on IDEAS

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    1. Mario Calderini & Giuseppe Scellato, 2004. "Intellectual property rights as strategic assets: the case of european patent opposition in the telecommunication industry," KITeS Working Papers 158, KITeS, Centre for Knowledge, Internationalization and Technology Studies, Universita' Bocconi, Milano, Italy, revised Jul 2004.
    2. Michele Cincera & Bruno van Pottelsberghe de la Potterie & Veugelers Reinhilde, 2006. "Assessing the foreign control of production of technology: The case of a small open economy," Scientometrics, Springer;Akadémiai Kiadó, vol. 66(3), pages 493-512, March.
    3. Graham, Stuart J. H. & Hall, Bronwyn H. & Harhoff, Dietmar & Mowery, David C., 2002. "Post-Issue Patent "Quality Control": A Comparative Study of US Patent Re-Examinations and European Patent Oppositions," Department of Economics, Working Paper Series qt2qt097bd, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    4. repec:fth:harver:1473 is not listed on IDEAS
    5. Jean Lanjouw & Josh Lerner, 1998. "The Enforcement of Intellectual Property Rights: A Survey of the Empirical Literature," Annals of Economics and Statistics, GENES, issue 49-50, pages 223-246.
    6. Zvi Griliches, 1998. "Patent Statistics as Economic Indicators: A Survey," NBER Chapters,in: R&D and Productivity: The Econometric Evidence, pages 287-343 National Bureau of Economic Research, Inc.
    7. Henri Capron & Michele Cincera, 1999. "Strengths and weaknesses of the Flemish innovation system: an external viewpoint," ULB Institutional Repository 2013/937, ULB -- Universite Libre de Bruxelles.
    8. Wesley M. Cohen & Richard R. Nelson & John P. Walsh, 2000. "Protecting Their Intellectual Assets: Appropriability Conditions and Why U.S. Manufacturing Firms Patent (or Not)," NBER Working Papers 7552, National Bureau of Economic Research, Inc.
    9. Harhoff, Dietmar & Reitzig, Markus, 2004. "Determinants of opposition against EPO patent grants--the case of biotechnology and pharmaceuticals," International Journal of Industrial Organization, Elsevier, vol. 22(4), pages 443-480, April.
    10. Michele Cincera & Henri Capron, 2000. "Technological Performance," ULB Institutional Repository 2013/147109, ULB -- Universite Libre de Bruxelles.
    11. Michele Cincera, 2005. "The link between firms' R&D by type of activity and source of funding and the decision to patent," DULBEA Working Papers 05-10.RS, ULB -- Universite Libre de Bruxelles.
    12. Harhoff, Dietmar & Scherer, Frederic M. & Vopel, Katrin, 2003. "Citations, family size, opposition and the value of patent rights," Research Policy, Elsevier, vol. 32(8), pages 1343-1363, September.
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    Cited by:

    1. Chen, Yi-Ting & Chou, Ray Y. & Kuan, Chung-Ming, 2000. "Testing time reversibility without moment restrictions," Journal of Econometrics, Elsevier, vol. 95(1), pages 199-218, March.
    2. Phillip Wild & John Foster, 2012. "On testing for non-linear and time irreversible probabilistic structure in high frequency ASX financial time series data," Discussion Papers Series 466, School of Economics, University of Queensland, Australia.
    3. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
    4. Bernard Garel & Marc Hallin, 1995. "Local asymptotic normality of multivariate ARMA processes with a linear trend," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 47(3), pages 551-579, September.
    5. Hinich , Melvin J. & Rothman, Philip, 1998. "Frequency-Domain Test Of Time Reversibility," Macroeconomic Dynamics, Cambridge University Press, vol. 2(01), pages 72-88, March.
    6. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    7. Zacharias Psaradakis & Martin Sola, 2003. "On detrending and cyclical asymmetry," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(3), pages 271-289.
    8. Zacharias Psaradakis, 2008. "Assessing Time-Reversibility Under Minimal Assumptions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 881-905, September.
    9. Christian Gouriéroux & Jean-Michel Zakoïan, 2015. "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.

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