Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171813
Authors: 
DiIorio, Francesca
Triacca, Umberto
Year of Publication: 
2014
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 2 [Year:] 2014 [Issue:] 4 [Pages:] 203-216
Abstract: 
In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show that this set of linear restrictions is equivalent to a null distance d(M0,M1 ) between two given ARMA models. This result provides the logical basis for using d(M0,M1) = 0 as a null hypothesis in our test. Some Monte Carlo evidence about the finite sample behavior of our testing procedure is provided and two empirical examples are presented.
Subjects: 
VARMA
linear restriction
autoregressive metric
bootstrap
JEL: 
C1
C3
C4
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article

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