Estimation for Partially Nonstationary Multivariate Autoregressive Models (Q3485770)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation for Partially Nonstationary Multivariate Autoregressive Models |
scientific article |
Statements
1990
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nonstationary vector autoregressive process
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autoregressive model
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roots
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unit circle
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error correction models
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co-integration
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Jordan canonical form
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least squares parameter estimators
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Gaussian partial reduced rank estimation procedure
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two-step reduced rank estimation procedure
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finite sample properties
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Monte Carlo sampling
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Estimation for Partially Nonstationary Multivariate Autoregressive Models (English)
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