Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model (Q4836988)
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scientific article; zbMATH DE number 766672
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model |
scientific article; zbMATH DE number 766672 |
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21 June 1995
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Brownian motion process
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error-correction model
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reduced-rank estimator
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Gaussian estimation
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testing for cointegration
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likelihood ratio test procedure
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partially nonstationary autoregressive moving average models
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full-rank
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testing the number of unit roots
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numerical example
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finite- sample properties
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simulation study
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Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model (English)
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