Persistence of an AR process for each t

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

HeyLyla
Posts: 1
Joined: Fri Jan 22, 2016 5:50 am

Persistence of an AR process for each t

Postby HeyLyla » Fri Jan 22, 2016 5:57 am

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 construct a new time series of this measure.

Thank you all in advance

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 1 guest