The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

Soren Johansen

Journal of Time Series Analysis, 2003, vol. 24, issue 6, 663-678

Abstract: Abstract. We show that the asymptotic distribution of the estimated stationary roots in a vector autoregressive model is Gaussian. A simple expression for the asymptotic variance in terms of the roots and the eigenvectors of the companion matrix is derived. The results are extended to the cointegrated vector autoregressive model and we discuss the implementation of the results for complex roots.

Date: 2003
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Citations: View citations in EconPapers (4)

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https://doi.org/10.1111/j.1467-9892.2003.00328.x

Related works:
Working Paper: The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model (2001)
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