A proof of asymptotic normality for some VARX models
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/BF01894330.pdf
Reference12 articles.
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3. Chan NH, Wei CZ (1988) Limiting distributions of least squares estimates of unstable autoregressive processes. The Annals of Statistics 16, 1:367–401
4. Crowder M (1980) On the asymptotic properties of least squares in autoregression. The Annals of Statistics 8, 1:132–146
5. Dickey DA, Fuller WA (1979) Distribution of estimators for autoregressive times series with a unit root. J Amer Statist Ass 74:427–431
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