DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES

Chirok Han

Econometric Theory, 2007, vol. 23, issue 6, 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 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.

Date: 2007
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