Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Re: extended sample autocorrelation function (ESACF)?

From   Roland Geier <>
To   <>
Subject   st: Re: extended sample autocorrelation function (ESACF)?
Date   Tue, 20 Apr 2010 10:10:03 +0200 (CEST)

sorry, the precise literature link is::

Tsay, R.S. and Tiao, G.C. (1984). Consistent Estimates of Autoregressive Parameters and Extended Sample Autocorrelation Function for Stationary and Nonstationary ARMA Models. Journal of the American Statistical Association 79, 84-96

Short descriptions of the ESACF method can be found here:


*   For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index