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- Fri Jan 22, 2016 5:57 am
- Forum: Econometric Discussions
- Topic: Persistence of an AR process for each t
- Replies: 0
- Views: 1801
Persistence of an AR process for each t
Given an AR(p) process, I want to study its persistence and constructing a measure of persistence of each time t. Persistence is usually measured as the sum of the autoregressive parameters and I am wondering if it is possible to estimate persistence between t and t-1 for each t, in order to constru...