Titlebook: Introduction to Multiple Time Series Analysis; Helmut Lütkepohl Textbook 19911st edition Springer-Verlag Berlin Heidelberg 1991 Resampling

Inflated

Stable Vector Autoregressive Processes chapter the model of interest is assumed to be known. Although this assumption is unrealistic in practice it helps to see the problems inherent to VAR models without contamination by estimation and specification problems. The latter two aspects of an analysis will be treated in detail in subsequent chapters.

漂亮才會(huì)豪華

Soliloquy

阻止

abduction

VAR Order Selection and Checking the Model Adequacyrive the consistency and asymptotic normality of the estimators. Therefore statistical tools should be used in order to check the validity of the assumptions made. In this chapter some such tools will be provided.

無能的人

Fitting Finite Order VAR Models to Infinite Order Processesccount this state of affairs and assume that an approximating rather than a true model is fitted. Specifically we assume that the true data generation process is a stable, infinite order VAR process and, for a given sample size ., a finite order VAR(.) is fitted to the data.

投票

吸引人的花招

Affection

pericardium