On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing
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Publication:6122963
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)
cointegrationpartially nonstationaryreduced rank estimationvector AR modelfull rank estimationvector GARCH process
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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