Template-type: ReDIF-Paper 1.0
Author-Name:Bent Nielsen
Author-Email:bent.nielsen@nuf.ox.ac.uk
Author-Workplace-Name:Nuffield College, University of Oxford
Title:Strong consistency results for least squares estimators in general
vector autoregressions with deterministic terms
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
Length:26 pages
Creation-Date:2003-10-25
Number:2003-W23
File-URL: http://www.nuff.ox.ac.uk/economics/papers/2003/W23/nielsenlse2003.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:0323