A note on the computation of time series model roots

Paul Gilbert

Applied Economics Letters, 2000, vol. 7, issue 7, 423-424

Abstract: The roots of time series models are important for analysing model dynamics and have a special importance in the unit root and co-integration literature. In this paper known results about the equivalence of state space and auto-regressive moving-average (ARMA) models are exploited to give better calculations of VAR and ARMA model roots. The improved computational accuracy is illustrated with an especially difficult example.

Date: 2000
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DOI: 10.1080/135048500351096

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