On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

DOI10.4208/cmr.2023-0005MaRDI QIDQ6122963

Chor-Yiu Sin, Shiqing Ling, Zichuan Mi

Publication date: 4 March 2024

Published in: Communications in Mathematical Research (Search for Journal in Brave)

zbMATH Keywords

cointegrationpartially nonstationaryreduced rank estimationvector AR modelfull rank estimationvector GARCH process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Time series analysis of dynamical systems (37M10)

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