Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity

  • Published 1999

Abstract

where $‘s inre r*onst,ant matricaes; detI{@(z)} = 11 @,x . w * $JP[ = 0 has ci 5 771, urrit roots and ‘I’ = 711 d roots omside the urrit, circle: tPt = ((1 it, 7 c+> is a sequcnce of independent1 and idcntically distlributled (i.i.tl) matrices with mean zero and nonnegativc covarianc~e IC[ /le+&) ~f’(&)] = 0; pit is an i.i.d ramlom vector witIh mean zero… (More)

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@inproceedings{1999EstimationFP, title={Estimation for Partially Nonstationary Multivariate Autoregressive Models with Conditional Heteroskedasticity}, author={}, year={1999} }