Testing for Noninvertibie Models With Applications
针对平稳但不可逆的自回归移动平均模型，构造一个非平稳但可逆的衍生过程，并利用单位根检验统计量提出检验不可逆性的方法，最后应用于两个美国经济时间序列的趋势平稳性检测。
This article is concerned with testing for noninvertibie time series models. For a stationary but noninvertibie autoregressive moving average model, I construct a derived process that is non-stationary but invertible with a nonstationary factor identical to the noninvertibie factor of the original time series. I then propose a test procedure for testing noninvertibility using various unit-root test statistics available in the literature. The limiting distributions of the test statistics employed depend on the mean as well as the initial innovations of the original series. I also compare the performance of the proposed test procedure with that of other noninvertibie tests available in the literature. For illustration, I apply the proposed test procedure to detect trend stationarity of two U.S. economic time series.