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1. 0 0 bTrue (B.2) A natural empirical counterpart to that variance is to replace JTrue with J, de…ned analogously using the point estimate b. The Wald statistic for the MA coe cients (ignoring scale factors) is then m 1 b1:m b1:m JmJ0 m b1:m b1:m (B.3) The distribution result used here is explicit in Brockwell and Davis (1988). It is implicit in Berk (1974) from a simple Fourier inversion of his result on the distribution of the spectral density estimates. Note that Brockwell and Davis (1988) impose the assumption that b0 = 1, which we do not include here. where b1:m is the row vector of the …rst m elements of the vector of coe cients in the model b.
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