We compare the performance of the inverse and ordinary (partial) autocorrelations for time series model identification. It is found that, both in terms of Bahadur's slope and Pitman's asymptotic relative efficiency, the inverse partial autocorrelations are more efficient than the ordinary...

Generalized Wald's method constructs testing procedures having chi-squared limiting distributions from test statistics having singular normal limiting distributions by use of generalized inverses. In this article, the use of two-inverses for that problem is investigated, in order to propose new...

In this paper, we consider the estimation of time-varying ARMA models subject to Markovian changes in regime. We give explicit conditions ensuring consistency and asymptotic normality, as well as the limiting covariance matrix, of least squares and quasi-generalized least-squares estimators.