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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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2003
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| _version_ | 1826277386493100032 |
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| author | Nielsen, B |
| author_facet | Nielsen, B |
| author_sort | Nielsen, B |
| collection | OXFORD |
| 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. |
| first_indexed | 2024-03-06T23:28:07Z |
| format | Working paper |
| id | oxford-uuid:6b1b64f2-d36d-4d2f-b861-30c71efed9d5 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T23:28:07Z |
| publishDate | 2003 |
| publisher | Nuffield College (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:6b1b64f2-d36d-4d2f-b861-30c71efed9d52022-03-26T19:01:34ZStrong consistency results for least squares estimators in general vector autoregressions with deterministic terms.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:6b1b64f2-d36d-4d2f-b861-30c71efed9d5EnglishDepartment of Economics - ePrintsNuffield College (University of Oxford)2003Nielsen, BA 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. |
| spellingShingle | Nielsen, B Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title | Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title_full | Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title_fullStr | Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title_full_unstemmed | Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title_short | Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms. |
| title_sort | strong consistency results for least squares estimators in general vector autoregressions with deterministic terms |
| work_keys_str_mv | AT nielsenb strongconsistencyresultsforleastsquaresestimatorsingeneralvectorautoregressionswithdeterministicterms |