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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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Suggested Citation

  • Menelaos Karanasos, 1997. "A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution," Keele Department of Economics Discussion Papers (1995-2001) 97/09, Department of Economics, Keele University.
  • Handle: RePEc:kee:keeldp:97/09
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    Cited by:

    1. Menelaos Karanasos & Alexandros Paraskevopoulos & Faek Menla Ali & Michail Karoglou & Stavroula Yfanti, 2014. "Modelling Returns and Volatilities During Financial Crises: a Time Varying Coefficient Approach," Papers 1403.7179, arXiv.org.
    2. Solberger M. & Zhou X., 2013. "A Lagrange multiplier-type test for idiosyncratic unit roots in the exact factor model under misspecification," Research Memorandum 058, Maastricht University, Graduate School of Business and Economics (GSBE).

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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