A note on calculating the autocovariances of the fractionally integrated ARMA models

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 c...

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Bibliographic Details
Published in:Economics letters 1994, Vol.45 (3), p.293-297
Main Author: Chung, Ching-Fan
Format: Article
Language:English
Subjects:
Covariance
Economic models
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Summary: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.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(94)90026-4