A Theoretical Analysis of the Stationarity of an Unrestricted Autoregression Process

• Tác giả: Varsha S Kulkarni
• Ngôn ngữ: eng
• Ký hiệu phân loại: 511.4 Approximations formerly also 513.24 and expansions
• Thông tin xuất bản: 2021
• Bộ sưu tập: Báo, Tạp chí
• ID: 167658

Tóm tắt

 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 $0<
 \delta<
 1$. The theorem gives the conditions of stationarity in simple relations between the coefficients and $k$ in terms of $\delta$. Computationally, the evidence of stationarity depends on the parameters. The choice of $\delta$ sets the bounds on $\beta$ and the number of time lags for prediction of the model.