A note on the autocorrelations related to a bilinear model with non-independent shocks

C. M. Martins

Statistics & Probability Letters, 1997, vol. 36, issue 3, 245-250

Abstract: For the simple bilinear model introduced by Granger and Andersen (1978), formulas for the first k - 1 autocorrelations of the squared series are obtained, assuming that the error process is strictly stationary and ergodic, and has some conditional moments given the past information that are finite.

Keywords: Autocorrelations; Bilinear; models; Conditional; expectation; Ergodicity; Stationarity (search for similar items in EconPapers)
Date: 1997
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