Abstract
In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(I) variables.
| Original language | English |
|---|---|
| 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
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