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A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution

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  • Menelaos Karanasos

Abstract

This 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 Info

Paper provided by Department of Economics, Keele University in its series Keele Department of Economics Discussion Papers (1995-2001) with number 97/09.

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Date of creation: 1997
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Publication status: Published in Econometric Theory, 1998, Vol. 14, pages 622-640.
Handle: RePEc:kee:keeldp:97/09

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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
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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
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Web: http://www.keele.ac.uk/depts/ec/cer/pubs_kerps.htm

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