A note on the computation of time series model roots

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.

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Year of publication:	2000
Authors:	Gilbert, Paul
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 7.2000, 7, p. 423-424
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009195819