| Abstract: | Abstract. For the bilinear time series X t =β X t-k e t-l + e v , k ≥ l , formulas for the first k -1 autocorrelations of X 2 t are obtained. These results fill in a gap in Granger and Andersen (1978). Simulation experiments are used to study the applicability of theoretical results and to investigate some more general situations. It is found that if ß is not too small, k and l may be identified using the autocorrelations of X 2 t . Application to more general situations is also briefly discussed. |
