Caner, Mehmet - In: Econometric Theory 13 (1997) 04, pp. 506-528
This paper generalizes the univariate results of Chan and Tran (1989, <italic>Econometric Theory</italic> 5, 354–362) and Phillips (1990, <italic>Econometric Theory</italic> 6, 44–62) to multivariate time series. We develop the limit theory for the least-squares estimate of a VAR(l) for a random walk with independent and...