Order determination in general vector autoregressions.

Order determination in general vector autoregressions.

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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...

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Dettagli Bibliografici
Autore principale:	Nielsen, B
Natura:	Working paper
Lingua:	English
Pubblicazione:	Nuffield College (University of Oxford) 2001

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