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Determinants Of Covariance Matrices Of Differenced Ar(1) Processes

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Author Info
Han, Chirok

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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 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.

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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 23 (2007)
Issue (Month): 06 (September)
Pages: 1248-1253
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Handle: RePEc:cup:etheor:v:23:y:2007:i:06:p:1248-1253

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