Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).

Título inglés	Some aspects of parameter inference for nearly nonstationary and nearly non invertible ARMA models (II).
Título español	Algunos aspectos sobre la inferencia paramétrica en modelos ARMA casi no estacionarios y casi no invertibles (II).
Autor/es	Ahtola, Juha ; Tiao, George C.
Organización	Dep. Econ. Univ. Helsinki, Helsinki, Finlandia;Grad. Sch. Bus. Univ. Chicago, Chicago (Illinois), Estados Unidos
Revista	0210-8054
Publicación	1984, 8 (4): 155-163, 19 Ref.
Tipo de documento	articulo
Idioma	Inglés
Resumen inglés	This article will extend the discussion in Ahtola and Tiao (1984a) of the finite sample distribution of the score function in nearly nonstationary first order autoregressions to nearly noninvertible first order moving average models. This distribution theory can be used to appreciate the behavior of the score function in situations where the asymptotic normal theory is known to give poor approximations in finite samples. The approximate distributions suggested here can be used to test for the value of the moving average parameter when it is close to unity. In particular, a test for noninvertibility can be obtained with an exact finite sample distribution of the test statistic under the null hypothesis.
Clasificación UNESCO	120915
Palabras clave español	Series temporales ; Modelo ARMA ; Distribución normal ; Muestreo
Código MathReviews	MR0891855
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