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STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS

Published online by Cambridge University Press:  22 April 2005

Bent Nielsen
Bent Nielsen
Affiliation:
University of Oxford
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Abstract

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.Comments from S. Johansen are gratefully acknowledged.

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Type
Research Article
Information
Econometric Theory , Volume 21 , Issue 3 , June 2005 , pp. 534 - 561
Copyright
© 2005 Cambridge University Press

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