Estimation of partially nonstationary vector autoregressive models with seasonal behavior (Q1329134)

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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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