Non invertible MA(Q)*

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NicolasR
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Joined: Mon Nov 04, 2013 6:22 pm
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Non invertible MA(Q)*

Postby NicolasR » Tue Feb 14, 2023 5:51 pm

The identification of MA(q) processes using second order techniques (such as OLS, ML and Box-Jenkins) estimates the invertible representation and ignores the non-invertible representations of a time series. This add-in seeks to simulate and find the data generating mechanism of all representations of a MA(q). In general there are 2q representations of a MA(q) and only one of them is invertible. If you have any suggestions to improve the add-in, I'd be happy to listen to you.

Regards, Nicolas Ronderos Pulido
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