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Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity |
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| Authors: | Li W K; Ling Shiqing; Wong H |
| Institution: | 1 Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong hrntlwk{at}hku.hk 2 Department of Mathematics, Hong Kong University of Science and Technology, Clear Water Bay, Kowloon, Hong Kong maling{at}ust.hk 3 Department of Applied Mathematics, The Hong Kong Polytechnic University, Kowloon, Hong Kong mathwong{at}polyu.edu.hk |
| Abstract: | |
| Keywords: | Brownian motion Cointegration Full-rank and reduced-rank maximum likelihood estimators Least squares estimator Multivariate ARCH process Partially nonstationary Unit root |
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