test on ARMA roots
Posted: 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)
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)