test on ARMA roots

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minijim
Posts: 14
Joined: Sun Dec 20, 2009 10:01 am

test on ARMA roots

Postby minijim » Fri Jan 15, 2010 7:48 am

Hi,

I'd like to know if there is a way to test, in a ARMA(p,q) model, the hypothesis that a AR root is equal to a MA root (at a given level of confidence) ?
Is it possible to get a Student's t-statistic for these roots ?

Thanks in advance for any suggestion.
(I have eviews version 5)

EViews Gareth
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Re: test on ARMA roots

Postby EViews Gareth » Fri Jan 15, 2010 8:17 am

I don't believe that is possible.
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