NONCAUSAL VECTOR AUTOREGRESSION

DOI10.1017/S0266466612000448zbMath1274.62602OpenAlexW3123638152WikidataQ61626460 ScholiaQ61626460MaRDI QIDQ2845019

Markku Lanne, Pentti Saikkonen

Publication date: 22 August 2013

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466612000448

zbMATH Keywords

maximum likelihood estimationstatistical inferenceasymptotic theorynon-Gaussian time seriesinterest rate datanoncasual vector autoregressive model

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cites Work

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• Maximum likelihood estimation for noncausal autoregressive processes
• Maximum likelihood estimation for all-pass time series models
• Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
• Asymptotic distributions in canonical correlation analysis and other multivariate procedures for nonnormal populations
• A note on time-reversibility of multivariate linear processes
• Identification in Parametric Models
• Diagnostic Checking in ARMA Models With Uncorrelated Errors

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