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

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  • Bent Nielsen

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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Bibliographic Info

Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 2003-W23.

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Date of creation: 01 Oct 2003
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Handle: RePEc:oxf:wpaper:2003-w23

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Related research

Keywords: least squares estimator; strong consistency; vector autoregression;

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Cited by:
  1. Søren Johansen & Bent Nielsen, 2008. "An analysis of the indicator saturation estimator as a robust regression estimator," Economics Papers 2008-W03, 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. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 2(21), pages 1-29.
  4. 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.
  5. Bent Nielsen & Jouni Sohkanen, 2009. "Asymptotic behaviour of the CUSUM of squares test under stochastic and deterministic time trends," Economics Series Working Papers 2009-W09, University of Oxford, Department of Economics.

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