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Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes

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  • Mittnik, Stefan

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  • Mittnik, Stefan, 1987. "Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes," Economics Letters, Elsevier, vol. 23(3), pages 279-284.
    • Handle: RePEc:eee:ecolet:v:23:y:1987:i:3:p:279-284
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    Cited by:

    1. D.S. Poskitt & Wenying Yao, 2012. "VAR Modeling and Business Cycle Analysis: A Taxonomy of Errors," Monash Econometrics and Business Statistics Working Papers 11/12, Monash University, Department of Econometrics and Business Statistics.
    2. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
    3. Stefan Mittnik & Nikolay Robinzonov & Klaus Wohlrabe, 2013. "Was bewegt den DAX?," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(23), pages 32-36, December.
    4. Pollock, D. S. G., 2003. "Recursive estimation in econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 37-75, October.

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