Is there a Unit Root Test for Moving Average Process in matlab?
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The title of this question says it all: Is there a unit root test for moving average processes in matlab?
I know there exists tests for unit roots in AR processes like kpsstest or adftest. Are there alternatives for moving average processes?
Thanks!!
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Roger Wohlwend
2014-11-4
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There is no such thing as as unit root test for a MA process. There is no such thing as a unit root test for an AR process, either. You apply the unit root test to a time series to find out if the data is stationary. If it is, you start modelling the timeseries with an AR or an MA process.
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