Munich Personal RePEc Archive

Backward and forward closed solutions of multivariate ARMA models.

Ludlow-Wiechers, Jorge (2012): Backward and forward closed solutions of multivariate ARMA models.

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Abstract

Some of the most widely used models in economics are based on variables not yet observed, and their specification depends on future observations; the theory that underpins these delivers the backward/ forward solution. We present a newly unified construction, starting with a more general specification of an ARMA model, yet is capable of delivering in closed form, in both the backward and forward cases, leading to an alternative presentation of causal/non-causal and invertible/non-invertible cases.

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