The moments of SETARMA models

Alessandra Amendola (alamendola@unisa.it), Marcella Niglio and Cosimo Damiano Vitale

Statistics & Probability Letters, 2006, vol. 76, issue 6, 625-633

Abstract: This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.

Keywords: Moments; SETARMA; model; Skewness; Kurtosis; Model; selection (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (8)

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