Estimation of partially nonstationary vector autoregressive models with seasonal behavior (Q1329134)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of partially nonstationary vector autoregressive models with seasonal behavior |
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Estimation of partially nonstationary vector autoregressive models with seasonal behavior (English)
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16 March 1995
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Brownian motion
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multivariate partial nonstationarity
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nonstationary seasonal models
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partially nonstationary vector autoregressive model
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seasonal cointegration
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error correction model
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Gaussian reduced rank estimation
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asymptotic properties
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two-step reduced rank estimation procedure
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