Abstract
In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(I) variables.
Original language | English |
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Pages (from-to) | 1248-1253 |
Number of pages | 6 |
Journal | Econometric Theory |
Volume | 23 |
Issue number | 6 |
DOIs | |
Publication status | Published - 2007 Dec |
Externally published | Yes |
ASJC Scopus subject areas
- Social Sciences (miscellaneous)
- Economics and Econometrics