ARIMA Processes with ARIMA Parameters

Carlo Grillenzoni

Journal of Business & Economic Statistics, 1993, vol. 11, issue 2, 235-50

Abstract: This article introduces a general class of nonlinear and nonstationary time-series models whose basic scheme is an autoregressive integrated moving average (ARIMA). The main feature i s that the parameters are assumed to behave like a vector ARIMAx model in which the exogenous (x) component is represented by the regressors o f the observable process. For this class, a general algorithm of identification-estimation is outlined based on the sampling information alone. The initial estimation, in particular, consists o f an iterative procedure of nonlinear regressions on recursive paramet er estimates generated with the extended Kalman filter.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:11:y:1993:i:2:p:235-50

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