Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
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Publication:1978764
DOI10.1016/S0165-1765(99)00278-5zbMath0953.91052MaRDI QIDQ1978764
Publication date: 4 June 2000
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00278-5
91B82: Statistical methods; economic indices and measures
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Cites Work
- Statistical analysis of cointegration vectors
- Impulse response analysis of cointegrated systems
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Estimation for Partially Nonstationary Multivariate Autoregressive Models
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models