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Factor ARMA representation of a Markov process

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
Nom de la revue
Economics Letters
Volume
71
Numéro
2
Éditeur
Elsevier
Pages
165–171
Identifiant publication
Métadonnées
Afficher la notice complète
Auteur(s)
Gouriéroux, Christian
Florens, Jean-Pierre
Darolles, Serge
Résumé (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).
Mots-clés
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