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

B-Tier
Journal: Econometric Theory
Year: 2005
Volume: 21
Issue: 3
Pages: 534-561

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:21:y:2005:i:03:p:534-561_05
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-26