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Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models

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  • Kohn, R

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 47 (1979)
Issue (Month): 4 (July)
Pages: 1005-30

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Handle: RePEc:ecm:emetrp:v:47:y:1979:i:4:p:1005-30

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Cited by:
  1. Lawrence J. Christiano, 1987. "Estimating continuous time rational expectations models in frequency domain: a case study," Working Papers 301, Federal Reserve Bank of Minneapolis.
  2. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  3. Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Spectral based methods to identify common trends and common cycles," Working Paper Series 0062, European Central Bank.
  4. Camba-Méndez, Gonzalo & Kapetanios, George, 2001. "Testing the rank of the Hankel matrix: a statistical approach," Working Paper Series 0045, European Central Bank.
  5. Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
  6. Lawrence J. Christiano & Martin Eichenbaum, 1989. "Unit Roots in Real GNP: Do We Know, and Do We Care?," NBER Working Papers 3130, National Bureau of Economic Research, Inc.
  7. B. Pötscher, 1985. "The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model," Metrika, Springer, vol. 32(1), pages 129-150, December.
  8. Wang, Zijun & Bessler, David A., 2004. "Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination," International Journal of Forecasting, Elsevier, vol. 20(4), pages 683-695.
  9. Abel, Andrew B. & Mishkin, Frederic S., 1983. "An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 3-24.
  10. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland.

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