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On the invertibility of time series models

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  • Granger, C. W. J.
  • Andersen, Allan

Abstract

A generalized definition of invertibility is proposed and applied to linear, non-linear and bilinear models. It is shown that some recently studied non-linear models are not invertible, but conditions for invertibility can be achieved for the other models.

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Bibliographic Info

Article provided by Elsevier in its journal Stochastic Processes and their Applications.

Volume (Year): 8 (1978)
Issue (Month): 1 (November)
Pages: 87-92

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Handle: RePEc:eee:spapps:v:8:y:1978:i:1:p:87-92

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Related research

Keywords: Time series analysis non-linear models invertibility bilinear models;

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Cited by:
  1. Gary Koop, 1995. "Bayesian Analysis of Long Memory and Persistence using ARFIMA Models," Working Papers gkoop-95-01, University of Toronto, Department of Economics.
  2. González Gómez, Andrés, 2004. "A smooth permanent surge process," Working Paper Series in Economics and Finance 572, Stockholm School of Economics.
  3. Zaffaroni, Paolo & d'Italia, Banca, 2003. "Gaussian inference on certain long-range dependent volatility models," Journal of Econometrics, Elsevier, vol. 115(2), pages 199-258, August.
  4. Baillie, Richard T., 1996. "Long memory processes and fractional integration in econometrics," Journal of Econometrics, Elsevier, vol. 73(1), pages 5-59, July.
  5. Zaffaroni, Paolo, 2009. "Whittle estimation of EGARCH and other exponential volatility models," Journal of Econometrics, Elsevier, vol. 151(2), pages 190-200, August.

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