Order determination in general vector autoregressions.
In the application of autoregressive models the order of the model is often estimated using either a sequence of likelihood ratio tests or a likelihood based information criterion. The consistency of such procedures has been discussed extensively under the assumption that the characteristic roots of...
| Huvudupphovsman: | |
|---|---|
| Materialtyp: | Working paper |
| Språk: | English |
| Publicerad: |
Nuffield College (University of Oxford)
2001
|