On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (Q6122963)
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scientific article; zbMATH DE number 7812207
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing |
scientific article; zbMATH DE number 7812207 |
Statements
On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing (English)
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4 March 2024
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vector AR model
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cointegration
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full rank estimation
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vector GARCH process
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partially nonstationary
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reduced rank estimation
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