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The moments of SETARMA models

Alessandra Amendola (), Marcella Niglio and Cosimo Damiano Vitale

Statistics & Probability Letters, 2006, vol. 76, issue 6, 625-633

Abstract: This paper considers the moments generation of the self exciting threshold autoregressive moving average model. In particular the exact form of the moments of order r is derived and, using this result, the unconditional variance, the skewness and the kurtosis index are given as functions of low-order moments. The use of the theoretical results are mainly addressed in the model selection context and some practical implications are further investigated through Monte Carlo simulations.

Keywords: Moments; SETARMA; model; Skewness; Kurtosis; Model; selection (search for similar items in EconPapers)
Date: 2006
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Handle: RePEc:eee:stapro:v:76:y:2006:i:6:p:625-633