Asymptotic properties of some subset vector autoregressive process estimators

Peter J. Brockwell, Richard A. Davis and A. Alexandre Trindade

Journal of Multivariate Analysis, 2004, vol. 90, issue 2, 327-347

Abstract: We establish consistency and derive asymptotic distributions for estimators of the coefficients of a subset vector autoregressive (SVAR) process. Using a martingale central limit theorem, we first derive the asymptotic distribution of the subset least squares (LS) estimators. Exploiting the similarity of closed form expressions for the LS and Yule-Walker (YW) estimators, we extend the asymptotics to the latter. Using the fact that the subset Yule-Walker and recently proposed Burg estimators satisfy closely related recursive algorithms, we then extend the asymptotic results to the Burg estimators. All estimators are shown to have the same limiting distribution.

Keywords: Subset; modeling; Least; squares; Yule-Walker; Burg; Martingale; Asymptotic; distribution; Recursive; algorithm (search for similar items in EconPapers)
Date: 2004
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(03)00176-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:90:y:2004:i:2:p:327-347

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().