A note on the computation of time series model roots

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Authors Paul D. Gilbert
Journal/Conference Name Applied Economics Letters
Paper Category
Paper Abstract 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.
Date of publication 2000
Code Programming Language R
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