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|Title||First-Order Autoregressive Models, AR (1)|
The autocorrelation function, ACF, is an important guide to the properties of a time series. We derive explicit equations for ACF in the presence of heteroscedasticity disturbances in first-order autoregres-sive, AR (1), models. We present two cases:(1) when the disturbance follows the general covariance matrix, X, and (2) when the diagonal elements of X are not all identical but o,,= 0* i= j. In addi-tion, we derive an equation to transform a model with heteroscedastic disturbances such that the model has homoscedastic disturbances.
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