Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/29700
Title: | A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL |
Authors: | Paraskevopoulos, A Magdalinos, A Canepa, A |
Keywords: | ARMA process;asymptotic stability;Green function;Hessenbergians;nonstationary;structural breaks;time-varying persistence;variable coefficients;Wold decomposition |
Issue Date: | 27-Feb-2025 |
Publisher: | Cambridge University Press |
Citation: | Karanasos, M. et al. (2024) 'A UNIFIED THEORY FOR ARMA MODELS WITH VARYING COEFFICIENTS: ONE SOLUTION FITS ALL', Econometric Theory, 0 (ahead of print), pp. 1 - [54]. doi: 10.1017/S0266466624000306. |
Abstract: | A new explicit solution representation is provided for ARMA recursions with drift and either deterministically or stochastically varying coefficients. It is expressed in terms of the determinants of banded Hessenberg matrices and, as such, is an explicit function of the coefficients. In addition to computational efficiency, the proposed solution provides a more explicit analysis of the fundamental properties of such processes, including their Wold–Cramér decomposition, their covariance structure, and their asymptotic stability and efficiency. Explicit formulae for optimal linear forecasts based either on finite or infinite sequences of past observations are provided. The practical significance of the theoretical results in this work is illustrated with an application to U.S. inflation data. The main finding is that inflation persistence increased after 1976, whereas from 1986 onward, the persistence declines and stabilizes to even lower levels than the pre-1976 period. |
Description: | A preprint version of the article is available at: arXiv:2110.06168v1 [math.ST], https://arxiv.org/abs/2110.06168 under a CC BY licence. It has not been certified by peer review. |
URI: | https://bura.brunel.ac.uk/handle/2438/29700 |
DOI: | https://doi.org/10.1017/S0266466624000306 |
ISSN: | 0266-4666 |
Other Identifiers: | ORCiD: Menelaos Karanasos https://orcid.org/0000-0001-5442-3509 ORCiD; Alessandra Canepa https://orcid.org/0000-0002-1287-3920 arXiv:2110.06168 [math.ST] |
Appears in Collections: | Dept of Economics and Finance Research Papers |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
FullText.pdf | Copyright © The Author(s), 2025. Published by Cambridge University Press. This is an Open Access article, distributed under the terms of the Creative Commons Attribution licence (https://creativecommons.org/licenses/by/4.0/), which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited. | 841.52 kB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License