VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (Q4696585): Difference between revisions
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Revision as of 17:58, 5 March 2024
scientific article; zbMATH DE number 221012
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING |
scientific article; zbMATH DE number 221012 |
Statements
VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (English)
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29 June 1993
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cointegration
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error-correction model
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canonical correlation analysis
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testing for unit roots
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limiting distribution results
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structured parameterization
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nonstationary multivariate autoregressive (AR) model
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\(m\)-dimensional process
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nested reduced rank
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likelihood ratio test statistic
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simulation study
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finite-sample properties
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prediction performance
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