摘要：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 (M0,M1 ) 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. Some Monte Carlo evidence about the finite sample behavior of our testing procedure is provided and two empirical examples are presented.
关键词：VARMA; linear restriction; autoregressive metric; bootstrap
