Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems

Paolo Paruolo

Econometric Theory, 1997, vol. 13, issue 01, pages 79-118

Abstract: This paper addresses the problem of inference on the moving average impact matrix and on its row and column spaces in cointegrated 1(1) VAR processes. The choice of bases (i.e., the identification) of these spaces, which is of interest in the definition of the common trend structure of the system, is discussed. Maximum likelihood estimators and their asymptotic distributions are derived, making use of a relation between properly normalized bases of orthogonal spaces, a result that may be of separate interest. Finally, Wald-type tests are given, and their use in connection with existing likelihood ratio tests is discussed.

Date: 1997
View citations in EconPapers

Downloads: (external link)
http://journals.cambridge.org/abstract_S026646660000565X link to article abstract page (text/html)

Related works:
Journal Article: ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS (2002)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:cup:etheor:v:13:y:1997:i:01:p:79-118_00

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press
Address: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Series data maintained by Mike Eden ().