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Vector Autoregressive Models With Unit Roots And Reduced Rank Structure:Estimation. Likelihood Ratio Test, And Forecasting

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  • Gregory C. Reinsel
  • Sung K. Ahn

Abstract

. The nonstationary multivariate autoregressive (AR) model Φ (L)Yt=εt is considered for an m‐dimensional process {Yt}, where it is assumed that det {Φ(L)}= 0 has d

Suggested Citation

  • Gregory C. Reinsel & Sung K. Ahn, 1992. "Vector Autoregressive Models With Unit Roots And Reduced Rank Structure:Estimation. Likelihood Ratio Test, And Forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(4), pages 353-375, July.
  • Handle: RePEc:bla:jtsera:v:13:y:1992:i:4:p:353-375
    DOI: 10.1111/j.1467-9892.1992.tb00113.x
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