Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (Q2773191)
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scientific article; zbMATH DE number 1709332
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity |
scientific article; zbMATH DE number 1709332 |
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Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity (English)
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10 March 2003
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Brownian motion
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cointegration
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full-rank
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reduced-rank
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maximum likelihood estimators
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least squares estimator
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multivariate ARCH process
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partially nonstationary
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unit roots
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