Non invertible MA(Q)*
Posted: 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
Regards, Nicolas Ronderos Pulido