Template-type: ReDIF-Paper 1.0
Author-Name: Bent Nielsen 
Author-Email: bent.nielsen@nuf.ox.ac.uk
Author-Homepage:http://www.nuff.ox.ac.uk/users/nielsen
Author-Workplace-Name:Nuffield College, Oxford
Author-Workplace-Homepage:http://www.nuff.ox.ac.uk/
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Title:Asymptotic properties of least squares statistics in general vector autoregressive models
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.
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Keywords: Asymptotic normality, Cointegration, Least squares, Martingales, Sample correlations, Strong consistency, Vector autoregressive model, Weak consistency.
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Length:33 pages
Creation-Date: 2001-07-12
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Number:2001-W9
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File-URL:http://www.nuff.ox.ac.uk/Economics/papers/2001/w9/nielsen.pdf
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Handle: RePEc:nuf:econwp:0109