Some restrictions on the use of corner method hypothesis tests |
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| Authors: | Joseph D. Petruccelli Neville Davies |
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| Affiliation: | 1. Worcester Polytechnic Institute , Worcester, MA, 01609, USA;2. Trent Polytechnic , Nottingham, UK |
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| Abstract: | Beguin et al (1980) introduced the Corner Method as a tool for identifying the order (p,q) of an ARMA proc.ess. In addition they derived approximate hypothesis tests,based on asymptotic theory, to aid in the identification. We show that there are restrictions implicit in the use of these tests which, if violated,could yield spurious results. |
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| Keywords: | corner method arma order identification time series ARMA models |
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