PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS (Q3471571)
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scientific article; zbMATH DE number 4139140
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| English | PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS |
scientific article; zbMATH DE number 4139140 |
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PROPERTIES OF PREDICTORS FOR MULTIVARIATE AUTOREGRESSIVE MODELS WITH ESTIMATED PARAMETERS (English)
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1988
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non-stable case
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vector time series
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nonstationary roots
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co-integrated series
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ordinary least squares
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mean squared error
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conditional mean
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predictors
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explosive case
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Simulations
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0.90225375
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0.89885473
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0.8844085
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