Least squares autoregression with near-unit root

J.R. Magnus, T.J. Rothenberg

Research output: Chapter in Book/Report/Conference proceedingChapterProfessional

214 Downloads (Pure)
Original languageEnglish
Title of host publicationInnovations in Multivariate Statistical Analysis
EditorsR.D.H. Heijmans, D.S.G. Pollock, A. Satorra
Place of PublicationDordrecht
PublisherKluwer
Pages157-173
Publication statusPublished - 2000

Cite this

Magnus, J. R., & Rothenberg, T. J. (2000). Least squares autoregression with near-unit root. In R. D. H. Heijmans, D. S. G. Pollock, & A. Satorra (Eds.), Innovations in Multivariate Statistical Analysis (pp. 157-173). Dordrecht: Kluwer.
Magnus, J.R. ; Rothenberg, T.J. / Least squares autoregression with near-unit root. Innovations in Multivariate Statistical Analysis. editor / R.D.H. Heijmans ; D.S.G. Pollock ; A. Satorra. Dordrecht : Kluwer, 2000. pp. 157-173
@inbook{1462fa4739b54063a0c204ede8c8712b,
title = "Least squares autoregression with near-unit root",
author = "J.R. Magnus and T.J. Rothenberg",
year = "2000",
language = "English",
pages = "157--173",
editor = "R.D.H. Heijmans and D.S.G. Pollock and A. Satorra",
booktitle = "Innovations in Multivariate Statistical Analysis",
publisher = "Kluwer",

}

Magnus, JR & Rothenberg, TJ 2000, Least squares autoregression with near-unit root. in RDH Heijmans, DSG Pollock & A Satorra (eds), Innovations in Multivariate Statistical Analysis. Kluwer, Dordrecht, pp. 157-173.

Least squares autoregression with near-unit root. / Magnus, J.R.; Rothenberg, T.J.

Innovations in Multivariate Statistical Analysis. ed. / R.D.H. Heijmans; D.S.G. Pollock; A. Satorra. Dordrecht : Kluwer, 2000. p. 157-173.

Research output: Chapter in Book/Report/Conference proceedingChapterProfessional

TY - CHAP

T1 - Least squares autoregression with near-unit root

AU - Magnus, J.R.

AU - Rothenberg, T.J.

PY - 2000

Y1 - 2000

M3 - Chapter

SP - 157

EP - 173

BT - Innovations in Multivariate Statistical Analysis

A2 - Heijmans, R.D.H.

A2 - Pollock, D.S.G.

A2 - Satorra, A.

PB - Kluwer

CY - Dordrecht

ER -

Magnus JR, Rothenberg TJ. Least squares autoregression with near-unit root. In Heijmans RDH, Pollock DSG, Satorra A, editors, Innovations in Multivariate Statistical Analysis. Dordrecht: Kluwer. 2000. p. 157-173