Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/179391 
Year of Publication: 
2016
Series/Report no.: 
EERI Research Paper Series No. 12/2016
Publisher: 
Economics and Econometrics Research Institute (EERI), Brussels
Abstract: 
This paper focuses on two applications of time series methods. The first proposes a simple transformation of the unit root form of stationary testing to infer about the validity of smoothing by second-order running averages of a series, or of the variables in a linear model (here opposing co-integration testing). The second one advances a simple iterative algorithm to correct for MA(1) autocorrelation of the residuals of the general linear model, not requiring the estimation of the error process parameter.
Subjects: 
Smoothing Tests under First Order Autoregressive Processes
Running Averages
Negative Unit Roots
Moving Average Autocorrelation Correction in Linear Models
JEL: 
C22
C12
C13
Document Type: 
Working Paper

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