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A NEW METHOD FOR OBTAINING THE AUTOCOVARIANCE OF AN ARMA MODEL: AN EXACT FORM SOLUTION

Acknowledgment of Priority and Correction Note: Econometric Theory (1998) 14 (5), 622–640

Published online by Cambridge University Press:  01 April 2000

Menelaos Karanasos
Menelaos Karanasos
Affiliation:
University of York
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Abstract

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Karanasos (1998) presented a new method for computing the theoretical autocovariance function (acf) of the following univariate autoregressive moving average (ARMA) model:

Φ(L)yt = Θ(L)εt

where

Φ(L) = 1 − φ1L − … − φpLp, Θ(L) = 1 − θ1L − … − θqLq

Type
MISCELLANEA
Information
Econometric Theory , Volume 16 , Issue 2 , April 2000 , pp. 280 - 282
Copyright
© 2000 Cambridge University Press