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


Author Info

  • Bent Nielsen

    (Nuffield College, University of Oxford)


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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Bibliographic 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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Keywords: Least squares estimator; Strong consistency; Vector autoregression;

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Cited by:
  1. Jouni Sohkanen & B. Nielsen, 2009. "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Papers 2009-W09, Economics Group, Nuffield College, University of Oxford.
  2. Bent Nielsen & Andrew Whitby, 2012. "A Joint Chow Test for Structural Instability," Economics Series Working Papers 2012-W07, University of Oxford, Department of Economics.
  3. Bent Nielsen & Soren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Series Working Papers 2008-WO3, University of Oxford, Department of Economics.
  4. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics Discussion Papers 2008-9, Kiel Institute for the World Economy.
  5. Bent Nielsen & J. James Reade, 2004. "Simulating Properties of the Likelihood Ratio Test for a Unit Root in an Explosive Second Order Autoregression," Economics Series Working Papers 2004-W24, University of Oxford, Department of Economics.


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