Asymptotic Properties of Estimators for Seasonally Cointegrated State Space Models Obtained Using the CVA Subspace Method

This paper investigates the asymptotic properties of estimators obtained from the so called CVA (canonical variate analysis) subspace algorithm proposed by Larimore (1983) in the case when the data is generated using a minimal state space system containing unit roots at the seasonal frequencies such...

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Detalles Bibliográficos
Autores principales: Bauer, Dietmar, Buschmeier, Rainer
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8068347/
https://www.ncbi.nlm.nih.gov/pubmed/33918005
http://dx.doi.org/10.3390/e23040436

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8068347/
https://www.ncbi.nlm.nih.gov/pubmed/33918005
http://dx.doi.org/10.3390/e23040436

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