Order determination in general vector autoregressions
In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of the autoregression are stationary. It is shown that these methods can be used regardless of the assumption to the characteristic roots.
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| Length: | 14 pages |
| Date of creation: | 12 Jul 2001 |
| Handle: | RePEc:nuf:econwp:0110 |
| Contact details of provider: | Web page: https://www.nuffield.ox.ac.uk/economics/
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