Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I
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More about this item
Keywordsnon-stationary process; multivariate time series; time-varying models;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-06-13 (All new papers)
- NEP-ECM-2015-06-13 (Econometrics)
- NEP-ETS-2015-06-13 (Econometric Time Series)
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