STATIONARITY CONDITION FOR AR INDEX PROCESS

Autor:	David L. Hammes, Eric Iksoon Im, Douglas Wills
Rok vydání:	2005
Předmět:	Ar process Economics and Econometrics Index (economics) Autoregressive model Simple (abstract algebra) Lag Process (computing) Econometrics Order (group theory) Constructive Social Sciences (miscellaneous) Mathematics
Zdroj:	Econometric Theory. 22
ISSN:	1469-4360 0266-4666
DOI:	10.1017/s0266466606060075
Popis:	The stationarity conditions for an autoregressive (AR) process in general are reduced to a remarkably simple inequality if the lag coefficients are restricted to be identical. The condition is not only analytically elegant but also applicable in checking the validity of the stationarity conditions for such a restricted AR process of any order. We are deeply indebted to Professor Paolo Paruolo, NP co-editor of Econometric Theory , and anonymous referees for constructive comments and suggestions that led to significant improvements. Errors, if any, are solely ours.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6dddcf4e9de9e9614639663ece20e69d https://doi.org/10.1017/s0266466606060075 Zobrazit plný text záznamu