Asymptotic properties of least squares statistics in general vector autoregressive models

Bent Nielsen

No 2001-W9, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: A vector autoregression with deterministic terms with no restrictions to its characteristic roots is considered. Strong consistency results and also some weak convergence results are given for a number of least squares statistics. These statistics are related to the denominator matrix of the least squares estimator as well as the least squares estimator itself. Applications of these results to the statistical analysis of non-stationary economic time-series are briefly discussed.

Keywords: Asymptotic normality; Cointegration; Least squares; Martingales; Sample correlations; Strong consistency; Vector autoregressive model; Weak consistency. (search for similar items in EconPapers)
Pages: 33 pages
Date: 2001-07-12
New Economics Papers: this item is included in nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0109

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