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

Covariance Income Estima 

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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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