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Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms

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  • Bent Nielsen

    (Nuffield College, University of Oxford)

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.

Suggested Citation

  • Bent Nielsen, 2003. "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Papers 2003-W23, Economics Group, Nuffield College, University of Oxford.
    • Handle: RePEc:nuf:econwp:0323
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    File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W23/nielsenlse2003.pdf
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    Cited by:

    1. Bent Nielsen & J. James Reade, 2007. "Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second-Order Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 26(5), pages 487-501.

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    Keywords

    Least squares estimator; Strong consistency; Vector autoregression;
    All these keywords.

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