The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model (Q4828162)
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scientific article; zbMATH DE number 2118724
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| English | The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model |
scientific article; zbMATH DE number 2118724 |
Statements
The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model (English)
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24 November 2004
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autoregressive process
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eigenvalue
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error correction model
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asymptotic distribution
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0.7667315006256104
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0.735910952091217
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0.7286936044692993
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0.7260063290596008
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0.7256845235824585
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