Abstract
Summary A procedure is given in the paper for testing the hypothesis that a specified set of parameters in a moving average process assumes the value zero. In particular, the method is applicable for detecting whether a moving average process is seasonal or not. This large-sample test, which operates entirely in the time domain, is based on the estimated asymptotic covariance matrix of improved estimates of the autocorrelation function and is derived from the results of Walker (1961) and Godolphin (1977). The procedure is illustrated and compared favourably on the basis of test power with the identification approach of Box and Jenkins (1970).
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