Estimation of partially nonstationary vector autoregressive models with seasonal behavior (Q1329134)
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scientific article; zbMATH DE number 597850
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of partially nonstationary vector autoregressive models with seasonal behavior |
scientific article; zbMATH DE number 597850 |
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Estimation of partially nonstationary vector autoregressive models with seasonal behavior (English)
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16 March 1995
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Brownian motion
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multivariate partial nonstationarity
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nonstationary seasonal models
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partially nonstationary vector autoregressive model
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seasonal cointegration
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error correction model
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Gaussian reduced rank estimation
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asymptotic properties
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two-step reduced rank estimation procedure
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0.91282004
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0.9058256
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0.8933287
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0.8922991
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0.89185596
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0.88926303
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0.88519335
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