Determinants of covariance matrices of differenced AR(1) processes

DOI10.1017/S0266466607070508zbMATH Open1237.62118MaRDI QIDQ2886983FDOQ2886983

Authors: Chirok Han 

Publication date: 14 May 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (4)

• 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
• Eigenvalues distribution limit of covariance matrices with AR processes entries

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