DETERMINANTS OF COVARIANCE MATRICES OF DIFFERENCED AR(1) PROCESSES
显式计算了差分和双重差分AR(1)变量协方差矩阵的行列式，对时间序列计量经济学研究者有参考价值。
In this note, determinants are explicitly calculated for the covariance matrices of differenced and double-differenced AR(1) variables.The author thanks Peter C.B. Phillips for introducing the author to Grenander and Szegö's book on Toeplitz matrices and giving useful comments. The author also thanks two anonymous referees for helpful comments on earlier drafts of the note.