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Applied Economics Letters Volume 9, 2002 - Issue 1
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Original Articles

The partial autocorrelation function of a first order non-invertible moving average process

Umberto Triacca
Pages 13-15 | Published online: 06 Oct 2010

References

  • Graybill , F. 1969 . Introduction to Matrices with Applications in Statistics , Belmont, California : Wadsworth Publishing Company, Inc .
  • Plosser , C. I. and Schwert , G. W. 1977 . Estimation of a noninvertible moving average process. The case of overdifferenting . Journal of Econometrics , 6 : 199 – 224 .
  • Shaman , P. 1969 . On the inverse of the covariance matrix of a first order moving average . Biometrika , 3 : 595 – 600 .

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