persistence estimates and the appropriate ARMA models. The results for the UK is sensitive to the time period. An analysis of the …

method to jointly sample from an ARMA process of unknown order along with the associated parameters. We apply the method to …

processes are governed by AR(1) processes and estimate ARMA (p,q) orders and parameters of exogenous processes. Methodologically … the unknown ARMA orders and their associated parameter spaces of varying dimensions. In estimating the technology process … results are insensitive to the choice of data filter; this contrasts with our ARMA estimates of GDP itself, which vary …

the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and …