Advanced Search
MyIDEAS: Login

Asymptotic properties of least squares statistics in general vector autoregressive models


Author Info


A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the least squares estimator as well as the least squares estimator itself. Applications of these results to the statistical analysis of non-stationary economic time-series are briefly discussed.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: no

Bibliographic Info

Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W9.

as in new window
Length: 33 pages
Date of creation: 12 Jul 2001
Date of revision:
Handle: RePEc:nuf:econwp:0109

Contact details of provider:
Web page:

Related research

Keywords: Asymptotic normality; Cointegration; Least squares; Martingales; Sample correlations; Strong consistency; Vector autoregressive model; Weak consistency.;

Other versions of this item:

This paper has been announced in the following NEP Reports:


No references listed on IDEAS
You can help add them by filling out this form.



This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:nuf:econwp:0109. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.