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On Time-Reversibility and the Uniqueness of Moving Average Representations for Non-Gaussian Stationary Time Series

✍ Scribed by Marc Hallin, Claude Lefevre and Madan L. Puri

Book ID
124289556
Publisher
Oxford University Press
Year
1988
Tongue
English
Weight
195 KB
Volume
75
Category
Article
ISSN
0006-3444

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## Abstract We analyse the forecasting attributes of trenc and diffence‐stationary representations of the U.S. macroeconomic time series sudied by Nelson and Plosser (1982). Predictive densities based on models estimated for these series (which terminate in 1970) are compared with subsequent realiz