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A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process

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  • Varsha S. Kulkarni

Abstract

The higher dimensional autoregressive models would describe some of the econometric processes relatively generically if they incorporate the heterogeneity in dependence on times. This paper analyzes the stationarity of an autoregressive process of dimension $k>1$ having a sequence of coefficients $\beta$ multiplied by successively increasing powers of $0

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  • Varsha S. Kulkarni, 2021. "A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process," Papers 2108.09083, arXiv.org.
    • Handle: RePEc:arx:papers:2108.09083
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    References listed on IDEAS

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    1. Hirotugu Akaike, 1969. "Fitting autoregressive models for prediction," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 21(1), pages 243-247, December.
    2. Im, Eric Iksoon & Hammes, David L. & Wills, Douglas T., 2006. "Stationarity Condition For Ar Index Process," Econometric Theory, Cambridge University Press, vol. 22(1), pages 164-168, February.
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