A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution
AbstractThis paper presents a new method for computing the theoretical autocovariance function of an autoregressive-moving average model. The importance of the reesult is that it yields two interesting results: (1) a closed form solution is derived in terms of roots of the autoregressive polynomial and the parameters of the moving average part, (2) a sufficient condition for lack of model redundancy is obtained.
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Bibliographic InfoPaper provided by Department of Economics, Keele University in its series Keele Department of Economics Discussion Papers (1995-2001) with number 97/09.
Date of creation: 1997
Date of revision:
Publication status: Published in Econometric Theory, 1998, Vol. 14, pages 622-640.
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Postal: Department of Economics, University of Keele, Keele, Staffordshire, ST5 5BG - United Kingdom
Phone: +44 (0)1782 584581
Fax: +44 (0)1782 717577
Web page: http://www.keele.ac.uk/depts/ec/cer/
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Postal: Department of Economics, Keele University, Keele, Staffordshire ST5 5BG - United Kingdom
Other versions of this item:
- Menelaos Karanasos,, 1996. "A New Method for Obtaining the Autocovariance of an ARMA Model: An Exact-form solution," Archive Discussion Papers 9613, Birkbeck, Department of Economics, Mathematics & Statistics.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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