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...
المؤلف الرئيسي: | Nielsen, B |
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التنسيق: | Working paper |
اللغة: | English |
منشور في: |
Nuffield College (University of Oxford)
2001
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مواد مشابهة
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Order determination in general vector autoregressions.
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Test for cointegration rank in general vector autoregressions.
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Singular vector autoregressions with deterministic terms: Strong consistency and lag order determination.
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Asymptotic properties of least squares statistics in general vector autoregressive models.
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Strong Consistency Results for Least Squares Estimators in General Vector Autoregressions with Deterministic Terms.
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