A note on the asymptotics of a stochastic vector difference equation
| Authors |
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| Publication date |
1994
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| Journal |
Biometrika
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| Volume | Issue number |
81 | 1
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| Pages (from-to) |
216-218
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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| Abstract |
This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.
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| Document type |
Article
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| Language |
English
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| Published at |
https://doi.org/10.1093/biomet/81.1.216
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