Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms

A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results for the least squares statistics are presented. This extends earlier results where deterministic terms have not been considered. In addition the convergence rates are improved compared with earlier results.

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Year of publication:	2003-10-01
Authors:	Nielsen, Bent
Institutions:	Department of Economics, Oxford University
Subject:	least squares estimator \| strong consistency \| vector autoregression

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Extent:	application/pdf
Series:	Economics Series Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2003-W23
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010604897