DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES

DOI10.1017/S0266466607070508zbMath1237.62118MaRDI QIDQ2886983

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)

Related Items (3)

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

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

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