Asymptotic properties of some subset vector autoregressive process estimators

We establish consistency and derive asymptotic distributions for estimators of the coefficients of a subset vector autoregressive (SVAR) process. Using a martingale central limit theorem, we first derive the asymptotic distribution of the subset least squares (LS) estimators. Exploiting the similarity of closed form expressions for the LS and Yule–Walker (YW) estimators, we extend the asymptotics to the latter. Using the fact that the subset Yule–Walker and recently proposed Burg estimators satisfy closely related recursive algorithms, we then extend the asymptotic results to the Burg estimators. All estimators are shown to have the same limiting distribution.