VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

Gregory C. Reinsel and Sung K. Ahn

Journal of Time Series Analysis, 1992, vol. 13, issue 4, 353-375

Abstract: Abstract. The nonstationary multivariate autoregressive (AR) model Φ (L)Yt=εt is considered for an m‐dimensional process {Yt}, where it is assumed that det {Φ(L)}= 0 has d

Date: 1992
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