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STATIONARITY CONDITION FOR AR INDEX PROCESS

Published online by Cambridge University Press:  12 December 2005

Eric Iksoon Im
Affiliation:
University of Hawaii at Hilo
David L. Hammes
Affiliation:
University of Hawaii at Hilo
Douglas T. Wills
Affiliation:
University of Washington at Tacoma

Abstract

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.

Type
Notes and Problems
Copyright
© 2006 Cambridge University Press

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References

Chiang, A.C. & K. Wainwright (2005) Fundamental Methods of Mathematical Economics. 4th ed. McGraw-Hill.
Judge, G.G., W.E. Griffiths, R.C. Hill, H. Lütkepohl, & T. Lee (1985) The Theory and Practice of Econometrics. Wiley.
Magnus, J.R. & H. Neudecker (1990) Matrix Differential Calculus: With Applications in Statistics and Econometrics. Rev. ed. Wiley.
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