Publication Date
2-2006
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.
Publication Title
Econometric Theory
Volume
22
Issue
1
First Page
164
Last Page
168
DOI
10.1017/S0266466606060075
Publisher Policy
Publisher's PDF
Open Access Status
OA Deposit
Recommended Citation
Im, Eric Iksoon; Hammes, David L.; and Wills, Doug, "Stationarity Condition for AR Index Process" (2006). Business Publications. 1.
https://digitalcommons.tacoma.uw.edu/business_pub/1
Comments
© 2006 Cambridge University Press. Available on publisher’s site at http://dx.doi.org/10.1017/S0266466606060075.