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The Covariance Structure of Mixed ARMA Models

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  • Menelaos Karanasos

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.

Suggested Citation

  • Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/10, Department of Economics, University of York.
    • Handle: RePEc:yor:yorken:00/10
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    References listed on IDEAS

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    1. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083.
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    3. Menelaos Karanasos, "undated". "Prediction in ARMA models with GARCH in Mean Effects," Discussion Papers 99/11, Department of Economics, University of York.
    4. Stilianos Fountas & Menelaos Karanasos & Marika Karanassou, "undated". "A GARCH Model of Inflation and Inflation Uncertainty with Simultaneous Feedback," Discussion Papers 00/24, Department of Economics, University of York.
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    8. 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.
    9. Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, "undated". "Cross-Sectional Aggregation and Persistence in Conditional Variance," Discussion Papers 00/09, Department of Economics, University of York.
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    16. Karanasos, Menelaos, 1999. "The second moment and the autocovariance function of the squared errors of the GARCH model," Journal of Econometrics, Elsevier, vol. 90(1), pages 63-76, May.
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    Cited by:

    1. Paulina Granados Z., 2004. "Income Function of Chilean Households: Life Cicle and Persistence of Shocks," Working Papers Central Bank of Chile 257, Central Bank of Chile.
    2. Paulina Granados Z., 2004. "Chilean Household Income Function: Life Cycle and Persistence of Shocks," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 7(1), pages 51-89, April.

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    More about this item

    Keywords

    Autocovariance Structure; Mixed ARMA Models; Wold Representation.;
    All these keywords.

    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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