Determinants of covariance matrices of differenced AR(1) processes

Research output: Contribution to journalReview articlepeer-review

3 Citations (Scopus)


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
Issue number6
Publication statusPublished - 2007 Dec
Externally publishedYes

ASJC Scopus subject areas

  • Social Sciences (miscellaneous)
  • Economics and Econometrics


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