EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX
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Publication:3377457
DOI10.1017/S0266466605050449zbMath1178.62100OpenAlexW2163669285MaRDI QIDQ3377457
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
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)
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Cites Work
- Statistical analysis of cointegration vectors
- Impulse response and forecast error variance asymptotics in nonstationary VARs
- Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models