EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX

Eiji Kurozumi, Hiroaki Chigira and Taku Yamamoto

Econometric Theory, 2005, vol. 21, issue 04, pages 870-875

Abstract: This note gives a proof of the equivalence between two expressions of the moving-average impact matrix; one is given by Johansen (1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models) and Paruolo (1997, Econometric Theory 13, 79 118), and the other appears in Phillips (1998, Journal of Econometrics 83, 21 56) as the limit of the impulse response function. Because these expressions are shown to be parametrically equivalent, we can make the same statistical inference about the impact matrix based on either Johansen (1995) and Paruolo (1997) or Phillips (1998).

Date: 2005

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