CONSISTENT ESTIMATION IN COINTEGRATED VECTOR AUTOREGRESSIVE MODELS WITH NONLINEAR TIME TRENDS IN COINTEGRATING RELATIONS

DOI10.1017/S0266466601172026zbMath0973.62079OpenAlexW2151289537MaRDI QIDQ2739263

Pentti Saikkonen

Publication date: 5 December 2001

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466601172026

zbMATH Keywords

consistencyGranger's representation theoremmaximum likelihond estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10)

Related Items (3)

Residual autocorrelation testing for vector error correction models ⋮ BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING ⋮ A nonparametric test for changing trends

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