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Vector Autoregressive Models for Multivariate Time Series

Vector Autoregressive Models for Multivariate Time Series

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388 11. Vector Autoregressive Models for Multivariate Time Series 11.2.2 Inference on Coefficients The ithelement of vec(Πˆ), ˆπi, is asymptotically normally distributed with 0 Z)−1. Hence, asymptotically valid t-tests on individual coefficients may be con-

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