IDEAS home Printed from https://ideas.repec.org/p/nuf/econwp/0323.html
   My bibliography  Save this paper

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

Author

Listed:
  • Bent Nielsen

    () (Nuffield College, University of Oxford)

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.

Suggested Citation

  • Bent Nielsen, 2003. "Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms," Economics Papers 2003-W23, Economics Group, Nuffield College, University of Oxford.
  • Handle: RePEc:nuf:econwp:0323
    as

    Download full text from publisher

    File URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W23/nielsenlse2003.pdf
    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.
    2. 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 (IfW), 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. Nielsen, Bent & Sohkanen, Jouni S., 2011. "Asymptotic Behavior Of The Cusum Of Squares Test Under Stochastic And Deterministic Time Trends," Econometric Theory, Cambridge University Press, vol. 27(04), pages 913-927, August.
    5. 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.
    6. Bent Nielsen & Andrew Whitby, 2015. "A Joint Chow Test for Structural Instability," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 1-31, March.
    7. Norbert Christopeit & Michael Massmann, 2017. "Strong consistency of the least squares estimator in regression models with adaptive learning," WHU Working Paper Series - Economics Group 17-07, WHU - Otto Beisheim School of Management.
    8. Bent Nielsen & Andrew Whitby, 2015. "A Joint Chow Test for Structural Instability," Econometrics, MDPI, Open Access Journal, vol. 3(1), pages 156, March.

    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:nuf:econwp:0323. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Maxine Collett). General contact details of provider: https://www.nuffield.ox.ac.uk/economics/ .

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.