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

Menelaos Karanasos

Econometric Theory, 2000, vol. 16, issue 2, 280-282

Abstract: Karanasos (1998) presented a new method for computing the theoretical autocovariance function (acf) of the following univariate autoregressive moving average (ARMA) model:Φ(L)yt = Θ(L)εtwhereΦ(L) = 1 − φ1L − … − φpLp, Θ(L) = 1 − θ1L − … − θqLq

Date: 2000
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Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:16:y:2000:i:02:p:280-282_16

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