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

Bent Nielsen

Econometric Theory, 2005, vol. 21, issue 3, 534-561

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.

Date: 2005
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Working Paper: Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms (2003)
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