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Estimating Time-Varying ARMA Models Using Fourier Coefficients

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  • Enders, Walter
  • Ludlow, Jorge

Abstract

There is a large and growing literature indicating that traditional time-series models cannot properly capture the behavior of many important economic variables. The problem is that standard time-series models are linear so that they imply a symmetric adjustment process. Consider the simple linear^(1) model: *r = ctx,.i + e, (1) where: is a stationary random variable, and e,is a white-noise disturbance such that = for every time period t.

Suggested Citation

  • Enders, Walter & Ludlow, Jorge, 1998. "Estimating Time-Varying ARMA Models Using Fourier Coefficients," ISU General Staff Papers 199810010700001307, Iowa State University, Department of Economics.
    • Handle: RePEc:isu:genstf:199810010700001307
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    References listed on IDEAS

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