Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems

DOI10.1016/S0165-1765(99)00278-5zbMath0953.91052OpenAlexW2088095516MaRDI QIDQ1978764

Yanyan Li

Publication date: 4 June 2000

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(99)00278-5

zbMATH Keywords

cointegrationimpulse responsereduced rank regression

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (2)

EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX ⋮ Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Cites Work

• Statistical analysis of cointegration vectors
• Impulse response analysis of cointegrated systems
• Impulse response and forecast error variance asymptotics in nonstationary VARs
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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