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A GENERALIZED VARIANCE RATIO TEST OF ARIMA ( p , 1, q) MODEL SPECIFICATION
Author(s) -
Miller John P.,
Newbold Paul
Publication year - 1995
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1995.tb00242.x
Subject(s) - autoregressive integrated moving average , mathematics , statistics , autoregressive model , autoregressive–moving average model , series (stratigraphy) , variance (accounting) , cover (algebra) , econometrics , extension (predicate logic) , test (biology) , time series , computer science , mechanical engineering , paleontology , accounting , biology , engineering , business , programming language
. The variance ratio test is often used as a check of the hypothesis that a time series is generated by a random walk. A natural extension of the test is developed to cover the case where the assumed model is ARIMA( p , 1, q ), with unknown parameters. Small sample properties of the generalized test are investigated, and the test is applied to a frequently analysed data set on US quarterly real gross national product. In effect, we are testing for low frequency misspecification in assumed autoregressive moving‐average (ARMA) models for a differenced series.