A Note on Autoregressive Modeling

D.S. Poskitt

Econometric Theory, 1994, vol. 10, issue 05, pages 884-899

Abstract: This paper addresses the problem of estimating vector autoregressive models. An approach to handling nonstationary (integrated) time series is briefly discussed, but the main emphasis is upon the estimation of autoregressive approximations to stationary processes. Three alternative estimators are considered and a complete analysis of their asymptotic properties in the stationary case is given. The results obtained, when placed together with those found elsewhere in the literature, lead to the direct recommendation that the less familiar Burg-type estimator should be used in practice when modeling stationary series. This is particularly so when the underlying objective of the analysis is to investigate the interrelationships between variables of interest via impulse response functions and dynamic multipliers.

Date: 1994

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