The Covariance Structure of Mixed ARMA Models

Menelaos Karanasos ()

Discussion Papers from Department of Economics, University of York

Abstract: The purpose of this paper is to examine the covariance structure of mixed ARMA models, as discussed in Granger and Morris (1976). The method we use to obtain the autocovariances is based on the Wold representation of an ARMA model as it is given in Pandit (1973) or in Karanasos (2000). We give two examples to illustrate our general results: (i) two ARMA(2,2) processes with identical autoregressive polynomials and different moving average ones, and (ii) two ARMA(2,1) processes with different autoregressive and moving average polynomials.

Keywords: Autocovariance Structure; Mixed ARMA Models; Wold Representation. (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (2)

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