We consider a stationary AR(1) process with ARCH(1) errors given by the stochastic difference equation $X_{t}=\alpha X_{t-1}+\sqrt{\beta +\lambda X_{t-1}^{2 ...

The regression model with autocorrelated disturbances is as follows: In these equations, y t are the dependent values, x t is a column vector of regressor variables, is a column vector of structural ...

To compute the sample autocorrelation function when missing values are present, PROC ARIMA uses only cross products that do not involve missing values and employs divisors that reflect the number of ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...