Title: Tackling infinity: A theory for infinite order autoregressions
Authors: Menelaos Karanasos - Brunel University (United Kingdom) [presenting]
Alexandros Paraskevopoulos - University of Patras (Greece)
Philipp Sibbertsen - University of Hannover (Germany)
Richard Baillie - Michigan State University (United States)
Abstract: An integrated approach is developed in order to examine the dynamics of autoregressions of infinite order. We provide the closed form of the general solution for such processes. This enables us to characterize these models by deriving, first, its multistep ahead predictor, second, the first two unconditional moments, and third, its covariance structure. To illustrate the practical significance of our results we apply our approach to cyclical long-memory models.