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DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES

Published online by Cambridge University Press:  06 September 2007

Chirok Han
Chirok Han
Affiliation:
University of Auckland
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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.

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 23 , Issue 6 , December 2007 , pp. 1248 - 1253
Copyright
© 2007 Cambridge University Press

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References

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