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

DOI10.1016/S0165-1765(99)00278-5zbMATH Open0953.91052OpenAlexW2088095516MaRDI QIDQ1978764FDOQ1978764

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

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zbMATH Keywords

cointegrationreduced rank regressionimpulse response

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical analysis of cointegration vectors
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• 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

Cited In (5)

• 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
• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS

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