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Asymptotic properties of least squares statistics in general vector autoregressive models

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Abstract

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.

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File URL: http://www.nuff.ox.ac.uk/Economics/papers/2001/w9/nielsen.pdf
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Bibliographic Info

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

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

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Web page: http://www.nuff.ox.ac.uk/economics/

Related research

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

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