Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems

DOI10.1016/S0165-1765(99)00278-5MaRDI QIDQ1978764zbMATH OpenOpenAlexFDO

Authors Yanyan Li

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

zbMATH Keywords

cointegrationreduced rank regressionimpulse response

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Impulse response analysis of cointegrated systems
• ON THE ASYMPTOTIC DISTRIBUTION OF IMPULSE RESPONSE FUNCTIONS WITH LONG-RUN RESTRICTIONS

Cites work

• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Impulse response analysis of cointegrated systems
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Statistical analysis of cointegration vectors

Cited in

(5)

• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX

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