On the invertibility of time series models

Clive Granger and Allan Andersen

Stochastic Processes and their Applications, 1978, vol. 8, issue 1, 87-92

Abstract: A generalized definition of invertibility is proposed and applied to linear, non-linear and bilinear models. It is shown that some recently studied non-linear models are not invertible, but conditions for invertibility can be achieved for the other models.

Keywords: Time; series; analysis; non-linear; models; invertibility; bilinear; models (search for similar items in EconPapers)
Date: 1978
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Citations: View citations in EconPapers (23)

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