Estimation for Partially Nonstationary Multivariate Autoregressive Models
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Publication:3485770
DOI10.2307/2290020zbMath0705.62081OpenAlexW4256483213MaRDI QIDQ3485770
Sung K. Ahn, Gregory C. Reinsel
Publication date: 1990
Full work available at URL: https://doi.org/10.2307/2290020
rootsunit circleJordan canonical formMonte Carlo samplingautoregressive modelco-integrationerror correction modelsfinite sample propertiesnonstationary vector autoregressive processtwo-step reduced rank estimation procedureGaussian partial reduced rank estimation procedureleast squares parameter estimators
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