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 |
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| container_title | Econometric theory |
| container_volume | 21 |
| creator | Nielsen, Bent |
| description | 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. |
| doi_str_mv | 10.1017/S0266466605050310 |
| format | Article |
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results.Comments from S. Johansen are
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results.Comments from S. Johansen are
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| fulltext | fulltext |
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| ispartof | Econometric theory, 2005-06, Vol.21 (3), p.534-561 |
| issn | 0266-4666 1469-4360 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38070229 |
| source | JSTOR Archive Collection A-Z Listing; Cambridge University Press Journals Complete |
| subjects | 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 |
| title | STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS |
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