Backward and forward closed solutions of multivariate ARMA models

Jorge Ludlow

MPRA Paper from University Library of Munich, Germany

Abstract: Some of the most widely used models in economics are based on variables not yet observed, and their specification depends on future observations; the theory that underpins these delivers the backward/ forward solution. We present a newly unified construction, starting with a more general specification of an ARMA model, yet is capable of delivering in closed form, in both the backward and forward cases, leading to an alternative presentation of causal/non-causal and invertible/non-invertible cases.

Keywords: Causal models; non-causal models; invertible models; non-invertible models; backward solution; forward solution (search for similar items in EconPapers)
JEL-codes: C01 C22 C32 C50 (search for similar items in EconPapers)
Date: 2012-03-25
New Economics Papers: this item is included in nep-ecm and nep-ets
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