Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination.
A vector autoregression is singular when explosive characteristic roots have geometric multiplicity larger than one. The singular component is a mixingale. Martingale decompositions are constructed for sample moments involving the singular component. This permits weak and strong analysis in the case...
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| Format: | Working paper |
| Langue: | English |
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Nuffield College (University of Oxford)
2008
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