Asymptotic properties of conditional least-squares estimators for array time series
نویسندگان
چکیده
منابع مشابه
Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
Time series variables that stochastically trend together form a cointegrated system. In such systems, certain linear combinations of contemporaneous values of these variables have a lower order of integration than does each variable considered individually. These linear combinations are given by cointegrating vectors. OLS and NLS estimators of the parameters of a cointegrating vector are shown ...
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ژورنال
عنوان ژورنال: Statistical Inference for Stochastic Processes
سال: 2021
ISSN: 1387-0874,1572-9311
DOI: 10.1007/s11203-021-09242-8