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A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution

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  • Menelaos Karanasos

Abstract

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.
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Suggested Citation

  • Menelaos Karanasos, 1997. "A New Method for Obtaining the Autocovariance of an Arma Model: An Exact Form Solution," Keele Department of Economics Discussion Papers (1995-2001) 97/09, Department of Economics, Keele University.
    • Handle: RePEc:kee:keeldp:97/09
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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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