Boswijk, H., Neudecker, H. and Liu, S. (1994). A note on the asymptotics of a stochastic vector difference equation Biometrika, 81(1):216--218.

Affiliated author

Peter Boswijk
Publication year

1994

Journal

Biometrika

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This note analyses a necessary condition for asymptotic normality of the maximum likelihood estimator in a stationary stochastic vector difference equation. It is shown that this condition is satisfied if the error variance matrix is positive definite.