Determinants of covariance matrices of differenced AR(1) processes

Research output: Contribution to journalArticle

3 Citations (Scopus)

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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determinants
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ASJC Scopus subject areas

  • Economics and Econometrics
  • Social Sciences (miscellaneous)

Cite this

Determinants of covariance matrices of differenced AR(1) processes. / Han, Chirok.

In: Econometric Theory, Vol. 23, No. 6, 01.12.2007, p. 1248-1253.

Research output: Contribution to journalArticle

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