STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS

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...

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Veröffentlicht in:Econometric theory 2005-06, Vol.21 (3), p.534-561
1. Verfasser: Nielsen, Bent
Format: Artikel
Sprache:eng
Schlagworte:
Consistent estimators
Determinism
Econometrics
Economic models
Eigenvalues
Estimation
Estimators
Explosives
Innovations
Jordan matrices
Least squares
Least squares method
Martingales
Mathematical methods
Methodology
Model testing
Regression analysis
Statistical methods
Studies
Theorems
Time series
Vector autoregression
Vector autoregressive model
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Zusammenfassung: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.
ISSN:0266-4666
1469-4360
DOI:10.1017/S0266466605050310