STATIONARITY CONDITION FOR AR INDEX PROCESS

B-Tier
Journal: Econometric Theory
Year: 2006
Volume: 22
Issue: 1
Pages: 164-168

Authors (3)

Im, Eric Iksoon (not in RePEc) Hammes, David L. (University of Hawaii-Hilo) Wills, Douglas T. (not in RePEc)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

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

Abstract

The stationarity conditions for an autoregressive (AR) process in general are reduced to a remarkably simple inequality if the lag coefficients are restricted to be identical. The condition is not only analytically elegant but also applicable in checking the validity of the stationarity conditions for such a restricted AR process of any order.We are deeply indebted to Professor Paolo Paruolo, NP co-editor of Econometric Theory, and anonymous referees for constructive comments and suggestions that led to significant improvements. Errors, if any, are solely ours.

Technical Details

RePEc Handle
repec:cup:etheor:v:22:y:2006:i:01:p:164-168_06
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-25