Abstract:In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M 0 and M 1 , introduced by Piccolo in 1990. In particular, we show that this set of linear restrictions is equivalent to a null distance d(M 0 , M 1 ) between two given ARMA models. This result provides the logical basis for using d(M 0 , M 1 ) = 0 as a null hypothesis in our test. Som… Show more
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