RECOGNIZING OVERDIFFERENCED TIME SERIES

DOI10.1111/j.1467-9892.1994.tb00173.xzbMath0794.62055OpenAlexW2112066467MaRDI QIDQ4299024

Ming Chun Chang, David A. Dickey

Publication date: 21 July 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00173.x

zbMATH Keywords

time seriescointegrationautocorrelation functionstationarityunit rootsARMA-modelsdifferencinginverse autocorrelation functionautoregressive integrated moving-average (ARIMA) modelsblood flow ratesoverdifferenced series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cites Work

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• Statistical analysis of cointegration vectors
• Consistent autoregressive spectral estimates
• Estimating the dimension of a model
• Estimation of a non-invertible moving average process: the case of overdifferencing
• Consistency of the least squares estimator of the first order moving average parameter
• Testing for Common Trends
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The behaviour of the sample autocorrelation function for an integrated moving average process
• A new look at the statistical model identification

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