Estimation for Partially Nonstationary Multivariate Autoregressive Models (Q3485770)
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scientific article; zbMATH DE number 4157727
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Estimation for Partially Nonstationary Multivariate Autoregressive Models |
scientific article; zbMATH DE number 4157727 |
Statements
1990
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nonstationary vector autoregressive process
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autoregressive model
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roots
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unit circle
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error correction models
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co-integration
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Jordan canonical form
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least squares parameter estimators
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Gaussian partial reduced rank estimation procedure
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two-step reduced rank estimation procedure
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finite sample properties
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Monte Carlo sampling
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Estimation for Partially Nonstationary Multivariate Autoregressive Models (English)
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0.8713299632072449
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0.8695836663246155
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0.8676783442497253
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0.8665234446525574
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0.865989089012146
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