Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean-Reference-Cited by-同舟云学术

Adaptive estimation of vector autoregressive models with time-varying variance: Application to testing linear causality in mean

Published:2012-11 Issue:11 Volume:142 Page:2891-2912
ISSN:0378-3758
Container-title:Journal of Statistical Planning and Inference
language:en
Short-container-title:Journal of Statistical Planning and Inference

Author:

Patilea Valentin,Raïssi Hamdi

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

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5. Vector autoregressive models with structural changes in regression coefficients and in variance–covariance matrices;Bai;Annals of Economics and Finance,2000

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