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.

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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...

書誌詳細
第一著者:	Nielsen, B
フォーマット:	Working paper
言語:	English
出版事項:	Nuffield College (University of Oxford) 2003

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