A New Method for Obtaining the Autocovariance of an ARMA Model: An Exact-form solution
Menelaos Karanasos ()
Archive Discussion Papers from Birkbeck, Department of Economics, Mathematics & Statistics
This paper presents a new method for computing the theoretical autocovariance function of an autoregressive-moving average model. The importance of the reesult is that it yields two interesting results: (1) a closed form solution is derived in terms of roots of the autoregressive polynomial and the parameters of the moving average part, (2) a sufficient condition for lack of model redundancy is obtained.
Keywords: Autocovariance; ARMA model; Model Redundancy. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
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Working Paper: A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:bbk:bbkewp:9613
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