EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX

DOI10.1017/S0266466605050449MaRDI QIDQ3377457zbMATH OpenOpenAlexFDO

Authors Eiji Kurozumi, Hiroaki Chigira, Taku Yamamoto

Publication date 22 March 2006

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466605050449

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• Impact factors
• A matrix evaluation of the moving-average representation
• An alternative proof of Granger’s Representation Theorem forI(1) systems through Jordan matrices

Cites work

• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Statistical analysis of cointegration vectors

Cited in

(1)

• Tests for Long-Run Granger Non-Causality in Cointegrated Systems

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