Asymptotic properties of least squares statistics in general vector autoregressive models
Year of publication: |
2001-07-12
|
---|---|
Authors: | Nielsen, Bent |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Asymptotic normality | Cointegration | Least squares | Martingales | Sample correlations | Strong consistency | Vector autoregressive model | Weak consistency |
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