Inference of Vector Autoregressive Models With Cointegration and Scalar Components
针对部分非平稳的向量自回归模型，假设一阶差分序列存在低阶标量分量，研究模型估计及估计量的渐近性质，并给出数值例子。
Abstract For the partially nonstationary vector autoregressive model of Ann and Reinsel, I further assume that the first differenced series has scalar components of lower order and study estimation of these models along with asymptotic properties of the estimators. It is shown that Gaussian reduced rank estimation can be easily carried out by simple modification of the Ahn and Reinsel's method. The asymptotic distribution for the estimator of the nonstationary parameter is a locally asymptotically mixed normal, and for that of the stationary parameter is asymptotically a normal. Testing hypothesis of the assumed structure of scalar components, including serial correlation common feature, is briefly discussed. A numerical example is provided to illustrate the methods.