Autocovariance functions of series and of their transforms

DOI10.1016/J.JECONOM.2004.02.015zbMath1335.62123OpenAlexW3122808363MaRDI QIDQ261897

Karim M. Abadir, Gabriel Talmain

Publication date: 24 March 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.02.015

zbMATH Keywords

time seriesnonlinear transformationsautocovariance functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

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Cites Work

• The limiting distribution of the autocorrelation coefficient under a unit root
• Nonlinearity and temporal dependence
• Expansions for some confluent hypergeometric functions
• Aggregation, Persistence and Volatility in a Macro Model
• An introduction to hypergeometric functions for economists
• A Stochastic Approach to the Gamma Function
• A General Approximation to the Distribution of Instrumental Variables Estimates
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