Trenkler, Carsten (contributor); … - 2006
the block-diagonal matrix with A1;:::;As on the diagonal. ML, LS, GLS, RR, LR, VAR
and VECM abbreviate maximum likelihood … that the initial values are from a flxed probability distribution
which does not depend on the sample size.
The VECM form … as the usual LR
test statistic based on the VECM (2.4). More precisely, the test statistic can be determined
from
¢^xt …