DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES

Chirok Han ()

Econometric Theory, 2007, vol. 23, issue 06, pages 1248-1253

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 Szeg 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.

Date: 2007

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