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...
| Váldodahkki: | |
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| Materiálatiipa: | Working paper |
| Giella: | English |
| Almmustuhtton: |
Nuffield College (University of Oxford)
2001
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