Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms

Bent Nielsen

No 2003-W23, Economics Papers from Economics Group, Nuffield College, University of Oxford

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.

Keywords: Least squares estimator; Strong consistency; Vector autoregression (search for similar items in EconPapers)
Pages: 26 pages
Date: 2003-10-25
New Economics Papers: this item is included in nep-ecm
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Related works:
Journal Article: STRONG CONSISTENCY RESULTS FOR LEAST SQUARES ESTIMATORS IN GENERAL VECTOR AUTOREGRESSIONS WITH DETERMINISTIC TERMS (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:0323

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