Bauer, Dietmar; Buschmeier, Rainer: Asymptotic properties of estimators for seasonally cointegrated state space Models obtained using the CVA Subspace Method. In: Entropy. Jg.23 H. 4. 2021
Inhalt
- Model Set and Assumptions
- Canonical Variate Analysis
- Asymptotic Properties of the System Estimators
- Inference Based on the Subspace Estimators
- Deterministic Terms
- Simulations
- Application
- Conclusions
- Supporting Material
- Reduced Rank Regression with Integrated Variables
- Proofs of the Theorems
- References