Loading…
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...
Saved in:
| Published in: | Economics letters 1994, Vol.45 (3), p.293-297 |
|---|---|
| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Citations: | Items that this one cites Items that cite this one |
| Online Access: | Get full text |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| cited_by | cdi_FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3 |
|---|---|
| cites | cdi_FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3 |
| container_end_page | 297 |
| container_issue | 3 |
| container_start_page | 293 |
| container_title | Economics letters |
| container_volume | 45 |
| creator | Chung, Ching-Fan |
| description | 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. |
| doi_str_mv | 10.1016/0165-1765(94)90026-4 |
| format | article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38681037</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>0165176594900264</els_id><sourcerecordid>38681037</sourcerecordid><originalsourceid>FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3</originalsourceid><addsrcrecordid>eNp9kV9rFDEUxYMouK5-Ax8CgujD2GRu5k9ehKVoa2kpSH0OmcydNiU7WZPMwn5773alDz4YOAkJ5xySXxh7L8UXKWR7Rmoq2bXNJ60-ayHqtlIv2Er2HVQddOolWz1bXrM3OT8KIWvdNSt2t-FzLMjjzJ0Nbgm2-PmelwfkdinRxb1N3s4OM4_T0_GUrCs-zjaEA_dzwftkC4588_Nmw7dxxJDfsleTDRnf_V3X7Nf3b3fnl9X17cWP88115ZRWpUI3DKIWAIMcxQSgm64Vqh-avu17mBRMsh6gGZTWwtlxHAGkbiS2Vta0m2DNPp56dyn-XjAXs_XZYQh2xrhkA1QkBXRk_PCP8TEuiZ6QDXGoJVnIt2bq5HIp5pxwMrvktzYdjBTmCNocKZojRaOVeQJtFMWuTrGEO3TPGaThYsBi9gasamg6kKSmKFhPAtKOVGsw9BvmoWyp7OupjDDi3mMy2Xkk_qNP6IoZo___bf4Aj62cxA</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1292137310</pqid></control><display><type>article</type><title>A note on calculating the autocovariances of the fractionally integrated ARMA models</title><source>International Bibliography of the Social Sciences (IBSS)</source><source>Backfile Package - Economics, Econometrics and Finance (Legacy) [YET]</source><creator>Chung, Ching-Fan</creator><creatorcontrib>Chung, Ching-Fan</creatorcontrib><description>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.</description><identifier>ISSN: 0165-1765</identifier><identifier>EISSN: 1873-7374</identifier><identifier>DOI: 10.1016/0165-1765(94)90026-4</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Covariance ; Economic models</subject><ispartof>Economics letters, 1994, Vol.45 (3), p.293-297</ispartof><rights>1994</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3</citedby><cites>FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://www.sciencedirect.com/science/article/pii/0165176594900264$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3460,4024,27923,27924,27925,33224,45992</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeeecolet/v_3a45_3ay_3a1994_3ai_3a3_3ap_3a293-297.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Chung, Ching-Fan</creatorcontrib><title>A note on calculating the autocovariances of the fractionally integrated ARMA models</title><title>Economics letters</title><description>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.</description><subject>Covariance</subject><subject>Economic models</subject><issn>0165-1765</issn><issn>1873-7374</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>1994</creationdate><recordtype>article</recordtype><sourceid>8BJ</sourceid><recordid>eNp9kV9rFDEUxYMouK5-Ax8CgujD2GRu5k9ehKVoa2kpSH0OmcydNiU7WZPMwn5773alDz4YOAkJ5xySXxh7L8UXKWR7Rmoq2bXNJ60-ayHqtlIv2Er2HVQddOolWz1bXrM3OT8KIWvdNSt2t-FzLMjjzJ0Nbgm2-PmelwfkdinRxb1N3s4OM4_T0_GUrCs-zjaEA_dzwftkC4588_Nmw7dxxJDfsleTDRnf_V3X7Nf3b3fnl9X17cWP88115ZRWpUI3DKIWAIMcxQSgm64Vqh-avu17mBRMsh6gGZTWwtlxHAGkbiS2Vta0m2DNPp56dyn-XjAXs_XZYQh2xrhkA1QkBXRk_PCP8TEuiZ6QDXGoJVnIt2bq5HIp5pxwMrvktzYdjBTmCNocKZojRaOVeQJtFMWuTrGEO3TPGaThYsBi9gasamg6kKSmKFhPAtKOVGsw9BvmoWyp7OupjDDi3mMy2Xkk_qNP6IoZo___bf4Aj62cxA</recordid><startdate>1994</startdate><enddate>1994</enddate><creator>Chung, Ching-Fan</creator><general>Elsevier B.V</general><general>Elsevier</general><general>North Holland</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>JQCIK</scope><scope>K30</scope><scope>PAAUG</scope><scope>PAWHS</scope><scope>PAWZZ</scope><scope>PAXOH</scope><scope>PBHAV</scope><scope>PBQSW</scope><scope>PBYQZ</scope><scope>PCIWU</scope><scope>PCMID</scope><scope>PCZJX</scope><scope>PDGRG</scope><scope>PDWWI</scope><scope>PETMR</scope><scope>PFVGT</scope><scope>PGXDX</scope><scope>PIHIL</scope><scope>PISVA</scope><scope>PJCTQ</scope><scope>PJTMS</scope><scope>PLCHJ</scope><scope>PMHAD</scope><scope>PNQDJ</scope><scope>POUND</scope><scope>PPLAD</scope><scope>PQAPC</scope><scope>PQCAN</scope><scope>PQCMW</scope><scope>PQEME</scope><scope>PQHKH</scope><scope>PQMID</scope><scope>PQNCT</scope><scope>PQNET</scope><scope>PQSCT</scope><scope>PQSET</scope><scope>PSVJG</scope><scope>PVMQY</scope><scope>PZGFC</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>1994</creationdate><title>A note on calculating the autocovariances of the fractionally integrated ARMA models</title><author>Chung, Ching-Fan</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>1994</creationdate><topic>Covariance</topic><topic>Economic models</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Chung, Ching-Fan</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>Periodicals Index Online Segment 33</collection><collection>Periodicals Index Online</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - West</collection><collection>Primary Sources Access (Plan D) - International</collection><collection>Primary Sources Access & Build (Plan A) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Midwest</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Northeast</collection><collection>Primary Sources Access (Plan D) - Southeast</collection><collection>Primary Sources Access (Plan D) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Southeast</collection><collection>Primary Sources Access (Plan D) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - UK / I</collection><collection>Primary Sources Access (Plan D) - Canada</collection><collection>Primary Sources Access (Plan D) - EMEALA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - North Central</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - International</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - International</collection><collection>Primary Sources Access (Plan D) - West</collection><collection>Periodicals Index Online Segments 1-50</collection><collection>Primary Sources Access (Plan D) - APAC</collection><collection>Primary Sources Access (Plan D) - Midwest</collection><collection>Primary Sources Access (Plan D) - MEA</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - Canada</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - EMEALA</collection><collection>Primary Sources Access & Build (Plan A) - APAC</collection><collection>Primary Sources Access & Build (Plan A) - Canada</collection><collection>Primary Sources Access & Build (Plan A) - West</collection><collection>Primary Sources Access & Build (Plan A) - EMEALA</collection><collection>Primary Sources Access (Plan D) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - Midwest</collection><collection>Primary Sources Access & Build (Plan A) - North Central</collection><collection>Primary Sources Access & Build (Plan A) - Northeast</collection><collection>Primary Sources Access & Build (Plan A) - South Central</collection><collection>Primary Sources Access & Build (Plan A) - Southeast</collection><collection>Primary Sources Access (Plan D) - UK / I</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - APAC</collection><collection>Primary Sources Access—Foundation Edition (Plan E) - MEA</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Economics letters</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Chung, Ching-Fan</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A note on calculating the autocovariances of the fractionally integrated ARMA models</atitle><jtitle>Economics letters</jtitle><date>1994</date><risdate>1994</risdate><volume>45</volume><issue>3</issue><spage>293</spage><epage>297</epage><pages>293-297</pages><issn>0165-1765</issn><eissn>1873-7374</eissn><abstract>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.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/0165-1765(94)90026-4</doi><tpages>5</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0165-1765 |
| ispartof | Economics letters, 1994, Vol.45 (3), p.293-297 |
| issn | 0165-1765 1873-7374 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38681037 |
| source | International Bibliography of the Social Sciences (IBSS); Backfile Package - Economics, Econometrics and Finance (Legacy) [YET] |
| subjects | Covariance Economic models |
| title | A note on calculating the autocovariances of the fractionally integrated ARMA models |
| url | http://sfxeu10.hosted.exlibrisgroup.com/loughborough?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-07T13%3A12%3A43IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20note%20on%20calculating%20the%20autocovariances%20of%20the%20fractionally%20integrated%20ARMA%20models&rft.jtitle=Economics%20letters&rft.au=Chung,%20Ching-Fan&rft.date=1994&rft.volume=45&rft.issue=3&rft.spage=293&rft.epage=297&rft.pages=293-297&rft.issn=0165-1765&rft.eissn=1873-7374&rft_id=info:doi/10.1016/0165-1765(94)90026-4&rft_dat=%3Cproquest_cross%3E38681037%3C/proquest_cross%3E%3Cgrp_id%3Ecdi_FETCH-LOGICAL-c494t-ecbb02033b1d0f339576048b586883f43f12b35b4990caddd331951e6a12dddf3%3C/grp_id%3E%3Coa%3E%3C/oa%3E%3Curl%3E%3C/url%3E&rft_id=info:oai/&rft_pqid=1292137310&rft_id=info:pmid/&rfr_iscdi=true |