2005 | OriginalPaper | Buchkapitel
VAR Processes with Parameter Constraints
verfasst von : Professor Dr. Helmut Lütkepohl
Erschienen in: New Introduction to Multiple Time Series Analysis
Verlag: Springer Berlin Heidelberg
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
In Chapter 3, we have discussed estimation of the parameters of a
K
-dimensional stationary, stable VAR(
p
) process of the form
5.1.1
% MathType!MTEF!2!1!+- % feaagaart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLn % hiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr % 4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq-Jc9 % vqaqpepm0xbba9pwe9Q8fs0-yqaqpepae9pg0FirpepeKkFr0xfr-x % fr-xb9adbaqaaeGaciGaaiaabeqaamaabaabaaGcbaGaamyEamaaBa % aaleaacaWG0baabeaakiabg2da9iabe27aUjabgUcaRiaadgeadaWg % aaWcbaGaaGymaaqabaGccaWG5bWaaSbaaSqaaiaadshacqGHsislca % aIXaaabeaakiabgUcaRiablAciljabgUcaRiaadgeadaWgaaWcbaGa % amiCaaqabaGccaWG5bWaaSbaaSqaaiaadshacqGHsislcaWGWbaabe % aakiabgUcaRiaadwhadaWgaaWcbaGaamiDaaqabaGccaGGSaaaaa!4DE7!
$$ y_t = \nu + A_1 y_{t - 1} + \ldots + A_p y_{t - p} + u_t , $$
where all the symbols have their usual meanings. In the investment/income/consumption example considered throughout Chapter 3, we found that many of the coefficient estimates were not significantly different from zero. This observation may be interpreted in two ways. First, some of the coefficients may actually be zero and this fact may be reflected in the estimation results. For instance, if some variable is not Granger-causal for the remaining variables, zero coefficients are encountered. Second, insignificant coefficient estimates are found if the information in the data is not rich enough to provide sufficiently precise estimates with confidence intervals that do not contain zero