Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Autoregressions
Asymptotic Properties of Multivariate Nonstationary Processes with Applications to Autoregressions
Asymptotic properties of multivariate time series with characteristic roots on the unit circle are considered. For a vector autoregressive moving average (ARMA) process, we derive the limiting distributions of certain statistics which are useful in understanding nonstationary processes. These distributions are derived in a unified manner for all types of …