Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms
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.
|Date of creation:||25 Oct 2003|
|Date of revision:|
|Contact details of provider:|| Web page: https://www.nuffield.ox.ac.uk/economics/|
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