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Resource Library
The Perils of Inferring Serial Dependence from Sample Autocorrelations of Moving Average Series
The Perils of Inferring Serial Dependence from Sample Autocorrelations of Moving Average Series
Abstract
We demonstrate that oscillatory patterns in the higher lags of sample autocorrelations can arise whenever the true process is a finite order MA, and that this phenomenon exists even when the true autocorrelations are zero. Therefore the visually apparent structure is a statistical artifact, and the analyst should not attempt to model it directly. Instead one should utilize Box–Jenkins methodology, whereby appropriate significance levels for testing zero correlation can be obtained by fitting successively higher order MA models.
Others in Series
Working Paper
A Set of End Weights to End All End Weights
Given a moving average used to calculate a seasonal factor curve on a trend-cycle curve.
Working Paper
Testing Collinearity of Vector Time Series
Investigating collinearity of vector time series in the frequency domain, by examining
the rank of the spectral density matrix at a given frequency of interest.
Working Paper
Alternative Sets of Weights for Proposed X-11
The following tables contain the end weights computed by an "optimum" technique for the 4 seasonal factor moving averages proprosed for inclusion in X-11.
Related Information
Page Last Revised - October 8, 2021
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