A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process

2021/08/20 by Kulkarni, Varsha S.
#Econometrics (econ.EM) #FOS: Economics and business #FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.2108.09083

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 β multiplied by successively increasing powers of 0

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