VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING

DOI10.1111/j.1467-9892.1992.tb00113.xzbMath0770.62079OpenAlexW2078268972MaRDI QIDQ4696585

Sung K. Ahn, Gregory C. Reinsel

Publication date: 29 June 1993

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1992.tb00113.x

zbMATH Keywords

canonical correlation analysiscointegrationsimulation studylikelihood ratio test statisticerror-correction modelfinite-sample propertiestesting for unit rootsprediction performancelimiting distribution resultsstructured parameterizationnested reduced rank\(m\)-dimensional processnonstationary multivariate autoregressive (AR) model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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