Asymptotic properties of least squares statistics in general vector autoregressive models.
A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the least s...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2001
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