IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v21y2005i03p534-561_05.html
   My bibliography  Save this article

Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms

Author

Listed:
  • Nielsen, Bent

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.Comments from S. Johansen are gratefully acknowledged.

Suggested Citation

  • Nielsen, Bent, 2005. "Strong Consistency Results For Least Squares Estimators In General Vector Autoregressions With Deterministic Terms," Econometric Theory, Cambridge University Press, vol. 21(3), pages 534-561, June.
    • Handle: RePEc:cup:etheor:v:21:y:2005:i:03:p:534-561_05
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466605050310/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohamad Kazem Shirani Faradonbeh & Ambuj Tewari & George Michailidis, 2017. "Finite Time Identification in Unstable Linear Systems," Papers 1710.01852, arXiv.org, revised Jun 2018.
    2. Nielsen, Bent, 2008. "On the Explosive Nature of Hyper-Inflation Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-29.
    3. 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.
    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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:21:y:2005:i:03:p:534-561_05. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.