DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES

B-Tier
Journal: Econometric Theory
Year: 2007
Volume: 23
Issue: 6
Pages: 1248-1253

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(1) variables.The author thanks Peter C.B. Phillips for introducing the author to Grenander and Szegö's book on Toeplitz matrices and giving useful comments. The author also thanks two anonymous referees for helpful comments on earlier drafts of the note.

Technical Details

RePEc Handle
repec:cup:etheor:v:23:y:2007:i:06:p:1248-1253_07
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25