{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,4,4]],"date-time":"2022-04-04T22:35:55Z","timestamp":1649111755866},"reference-count":11,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2009,2,11]],"date-time":"2009-02-11T00:00:00Z","timestamp":1234310400000},"content-version":"unspecified","delay-in-days":5673,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1993,8]]},"abstract":"<jats:p>The limiting distribution of the least squares estimate of the derived process of a noninvertible and nearly noninvertible moving average model with infinite variance innovations is established as a functional of a L\u00e9vy process. The form of the limiting law depends on the initial value of the innovation and the stable index \u03b1. This result enables one to perform asymptotic testing for the presence of a unit root for a noninvertible moving average model through the constructed derived process under the null hypothesis. It provides not only a parallel analog of its autoregressive counterparts, but also a useful alternative to determine \u201cover-differencing\u201d for time series that exhibit heavy-tailed phenomena.<\/jats:p>","DOI":"10.1017\/s0266466600008057","type":"journal-article","created":{"date-parts":[[2009,3,10]],"date-time":"2009-03-10T11:46:44Z","timestamp":1236685604000},"page":"680-685","source":"Crossref","is-referenced-by-count":2,"title":["On the Noninvertible Moving Average Time Series with Infinite Variance"],"prefix":"10.1017","volume":"9","author":[{"given":"Ngai Hang","family":"Chan","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,2,11]]},"reference":[{"key":"S0266466600008057_ref010","doi-asserted-by":"publisher","DOI":"10.1017\/S026646660001255X"},{"key":"S0266466600008057_ref008","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600004904"},{"key":"S0266466600008057_ref007","volume-title":"An Introduction to Probability Theory and Its Applications","volume":"2","author":"Feller","year":"1976"},{"key":"S0266466600008057_ref006","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4149(92)90142-D"},{"key":"S0266466600008057_ref004","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600012561"},{"key":"S0266466600008057_ref001","first-page":"155","article-title":"Some aspects of parameter inference for nearly nonstationary and nearly non-invertible ARMA models II","volume":"8","author":"Ahtola","year":"1984","journal-title":"Q\u00fcestvo"},{"key":"S0266466600008057_ref005","volume-title":"Asymptotic theory for non-invertible MA(1) processes","author":"Choi","year":"1991"},{"key":"S0266466600008057_ref003","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1990.10474977"},{"key":"S0266466600008057_ref009","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466600004692"},{"key":"S0266466600008057_ref011","first-page":"225","article-title":"Testing for non\u2013invertible models with applications","volume":"11","author":"Tsay","year":"1993","journal-title":"Journal of Business and Economic Statistics"},{"key":"S0266466600008057_ref002","volume-title":"Time Series Analysis: Forecasting and Control","author":"Box","year":"1976"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600008057","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,5,15]],"date-time":"2019-05-15T18:15:53Z","timestamp":1557944153000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600008057\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1993,8]]},"references-count":11,"journal-issue":{"issue":"4","published-print":{"date-parts":[[1993,8]]}},"alternative-id":["S0266466600008057"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600008057","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1993,8]]}}}