Determinants of covariance matrices of differenced AR(1) processes

DOI10.1017/S0266466607070508MaRDI QIDQ2886983zbMATH OpenFDO

Authors Chirok Han

Publication date 14 May 2012

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466607070508

Mathematics Subject Classification ID

Determinants, permanents, traces, other special matrix functions (15A15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

• Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods
• On the closed form of the covariance matrix and its inverse of the causal ARMA process
• On the inverses of some patterned matrices arising in the theory of stationary time series

Cited in

(5)

• Eigenvalues distribution limit of covariance matrices with AR processes entries
• First difference maximum likelihood and dynamic panel estimation
• APPLICATION OF THE EXACT INVERSE OF THE TOEPLITZ MATRIX TO THE AUTOREGRESSIVE MODEL
• GMM estimation for dynamic panels with fixed effects and strong instruments at unity
• A unified theory for ARMA models with varying coefficients: one solution fits all

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