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Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms

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Author Info
Nielsen, Bent

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Abstract

A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results for the least squares statistics are presented. This extends earlier results where deterministic terms have not been considered. In addition the convergence rates are improved compared with earlier results.Comments from S. Johansen are gratefully acknowledged.

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File URL: http://journals.cambridge.org/abstract_S0266466605050310
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Publisher Info
Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 21 (2005)
Issue (Month): 03 (June)
Pages: 534-561
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Handle: RePEc:cup:etheor:v:21:y:2005:i:03:p:534-561_05

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  1. Bent Nielsen & J. James Reade, 2004. "Simulating properties of the likelihood ratio test for a unit root in an explosive second order autoregression," Economics Papers 2004-W24, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
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  2. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(21), pages 1-29. [Downloadable!]
    Other versions:
  3. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers 2008-09, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
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