Factor ARMA representation of a Markov process

Gouriéroux, Christian; Florens, Jean-Pierre; Darolles, Serge

Gouriéroux, Christian; Florens, Jean-Pierre; Darolles, Serge (2001), Factor ARMA representation of a Markov process, Economics Letters, 71, 2, p. 165–171. http://dx.doi.org/10.1016/S0165-1765(01)00367-6

Type

Article accepté pour publication ou publié

Date

2001-05

Journal name

Economics Letters

Volume

Number

Publisher

Elsevier

Pages

165–171

Abstract (EN)

We decompose a stationary Markov process (Xt) as: View the MathML source, where the Zj’s processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).

Subjects / Keywords

Markov process; Reversibility; Dynamic factors; Nonlinear; Canonical analysis

JEL

C14 - Semiparametric and Nonparametric Methods: General
C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes