Determinants of covariance matrices of differenced AR(1) processes

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Abstract

In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(I) variables.

Original languageEnglish
Pages (from-to)1248-1253
Number of pages6
JournalEconometric Theory
Volume23
Issue number6
DOIs
Publication statusPublished - 2007 Dec 1
Externally publishedYes

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ASJC Scopus subject areas

  • Economics and Econometrics
  • Social Sciences (miscellaneous)

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