Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (Q2773191)
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scientific article; zbMATH DE number 1709332
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| English | Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity |
scientific article; zbMATH DE number 1709332 |
Statements
Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (English)
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10 March 2003
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Brownian motion
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cointegration
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full-rank
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reduced-rank
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maximum likelihood estimators
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least squares estimator
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multivariate ARCH process
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partially nonstationary
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unit roots
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0.8552188873291016
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0.839544951915741
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0.8302047848701477
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