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A note on the computation of time series model roots

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  • Paul Gilbert

Abstract

The roots of time series models are important for analysing model dynamics and have a special importance in the unit root and co-integration literature. In this paper known results about the equivalence of state space and auto-regressive moving-average (ARMA) models are exploited to give better calculations of VAR and ARMA model roots. The improved computational accuracy is illustrated with an especially difficult example.

Suggested Citation

  • Paul Gilbert, 2000. "A note on the computation of time series model roots," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 423-424.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:7:p:423-424
    DOI: 10.1080/135048500351096
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    Cited by:

    1. Georgi N. Boshnakov & Bisher M. Iqelan, 2009. "Generation Of Time Series Models With Given Spectral Properties," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 349-368, May.
    2. Pfaff, Bernhard, 2008. "VAR, SVAR and SVEC Models: Implementation Within R Package vars," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 27(i04).
    3. repec:jss:jstsof:27:i04 is not listed on IDEAS

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