Lawford, Steve; Stamatogiannis, Michalis P. - In: Journal of Econometrics 148 (2009) 2, pp. 124-130
Vector autoregressions (VARs) are important tools in time series analysis. However, relatively little is known about the finite-sample behaviour of parameter estimators. We address this issue, by investigating ordinary least squares (OLS) estimators given a data generating process that is a...