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Strong consistency results for least squares estimators in general vector autoregressions with deterministic terms.

Abstract:
A vector autoregression with deterministic terms and with no restrictions to its characteristic roots is considered. Strong consistency results for the least squares statistics are presented. This extends earlier results where deterministic terms have not been considered. In addition the convergence rates are improved compared with earlier results.

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Publisher:
Nuffield College (University of Oxford)
Series:
Economics Group, Nuffield College, University of Oxford, Economics Papers
Host title:
Economics Group, Nuffield College, University of Oxford, Economics Papers
Publication date:
2003-01-01
Language:
English
UUID:
uuid:6b1b64f2-d36d-4d2f-b861-30c71efed9d5
Local pid:
oai:economics.ouls.ox.ac.uk:11955
Deposit date:
2011-08-16

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