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

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Author Info
Bent Nielsen () (Nuffield College, University of Oxford)

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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.

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File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W23/nielsenlse2003.pdf
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Publisher Info
Paper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 2003-W23.

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Length: 26 pages
Date of creation: 25 Oct 2003
Date of revision:
Handle: RePEc:nuf:econwp:0323

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

For technical questions regarding this item, or to correct its listing, contact: (Catherine McNeill).

Related research
Keywords: Least squares estimator Strong consistency Vector autoregression

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This paper has been announced in the following NEP Reports: Cited by:
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  1. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy. [Downloadable!]
    Other versions:
  2. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," CREATES Research Papers 2008-09, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:
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