The Influence of VAR Dimensions on Estimator Biases

DOI10.1111/1468-0262.00008zbMath1056.62527OpenAlexW3125839856MaRDI QIDQ4530936

Karim M. Abadir, Elias Tzavalis, Kaddour Hadri

Publication date: 28 May 2002

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00008

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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