A NOTE ON CALCULATING THE AUTOCOVARIANCES OF THE FRACTIONALLY INTEGRATED ARMA MODELS

被引：10

作者：

CHUNG, CF

机构：

来源：

ECONOMICS LETTERS | 1994年 / 45卷 / 03期

关键词：

D O I：

10.1016/0165-1765(94)90026-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The autocovariances of the stationary fractionally integrated ARMA model derived by Sowell (Journal of Econometrics, 1992, 53, 165-188) are complicated functions of hypergeometric functions. We give an alternative expression for these autocovariances which can be easily and accurately computed by computers.

引用

页码：293 / 297

页数：5