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Estimation of Vector Autoregressive Processes

  • Helmut Lütkepohl

Abstract

In this chapter it is assumed that a K-dimensional multiple time series y 1,..., y T with y t = (y 1t ,..., y Kt )’ is available that is known to be generated by a stationary, stable VAR(p) process
$$ y_t = v + A_1 y_{t - 1} + \cdots + A_p y_{t - p} + u_t .$$
(3.1.1)

Keywords

Mean Square Error Asymptotic Distribution Autoregressive Process Little Square Estimator Asymptotic Covariance Matrix 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 1991

Authors and Affiliations

  • Helmut Lütkepohl
    • 1
  1. 1.Institute of Statistics and EconometricsUniversity of KielKielGermany

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