Impulse response analysis in infinite order cointegrated vector autoregressive processes
type: Item
instance of: scholarly article
title: Impulse response analysis in infinite order cointegrated vector autoregressive processes
zbMATH Open document ID: 0922.62118
DOI: 10.1016/S0304-4076(97)00037-7
author: Pentti Saikkonen
author: Helmut Lütkepohl
published in: Journal of Econometrics
publication date: 1999-10-17T00:00:00Z
review text: Some general asymptotic results for infinite-order cointegrated VAR processes are derived, e.g. the joint asymptotic distribution of the estimated VAR coefficients and the white noise covariance matrix including a consistent estimate of the covariance matrix of this joint asymptotic distribution. These results enable to investigate asymptotic properties of estimated instruments which are used for interpreting VAR models: impulse responses, forecast error variance decompositions, persistent profiles (in general, these instruments are nonlinear functions of the VAR coefficients). The asymptotic approach used in the paper is based on the assumption that finite-order VAR processes are fitted to the observed time series but the order of the fitted process is assumed to increase with the sample size. The results are illustrated by a real data analysis of a German money demand system relating \(M1\), GNP and a short-term interest rate.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 1083051
reviewed by: Tomáš Cipra
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1083051