A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION

M. Karanasos

Econometric Theory, 1998, vol. 14, issue 05, pages 622-640

Abstract: In this article we present a new method for computing the theoretical autocovariance function of an autoregressive moving average model. The importance of our theorem is that it yields two interesting results: First, a closed-form solution is derived in terms of the roots of the autoregressive polynomial and the parameters of the moving average part. Second, a sufficient condition for the lack of model redundancy is obtained.

Date: 1998
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Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:05:p:622-640_14

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