Asymptotic properties of least squares statistics in general vector autoregressive models
AbstractA 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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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2001-W9.
Length: 33 pages
Date of creation: 12 Jul 2001
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Web page: http://www.nuff.ox.ac.uk/economics/
Asymptotic normality; Cointegration; Least squares; Martingales; Sample correlations; Strong consistency; Vector autoregressive model; Weak consistency.;
Other versions of this item:
- Bent Nielsen, 2001. "Asymptotic properties of least square statistics in general vector autoregressive models," Economics Series Working Papers 2001-W09, University of Oxford, Department of Economics.
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