Is there a Unit Root Test for Moving Average Process in matlab?

1 次查看（过去 30 天）
MC3105
MC3105 2014-11-4
回答： Roger Wohlwend 2014-11-4
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!!

请先登录，再回答此问题。

采纳的回答

Roger Wohlwend
Roger Wohlwend 2014-11-4
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.

更多回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Testing Frameworks 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by