Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
type: Item
instance of: scholarly article
title: Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
zbMATH Open document ID: 0953.91052
DOI: 10.1016/S0165-1765(99)00278-5
author: Yanyan Li
published in: Economics Letters
publication date: 2000-06-04T00:00:00Z
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 1454484
zbMATH Keywords: cointegration
zbMATH Keywords: impulse response
zbMATH Keywords: reduced rank regression
MaRDI profile type: Publication
cites work: Estimation for Partially Nonstationary Multivariate Autoregressive Models
cites work: Statistical analysis of cointegration vectors
cites work: Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
cites work: Impulse response analysis of cointegrated systems
cites work: Impulse response and forecast error variance asymptotics in nonstationary VARs
full work available at URL: s0165-1765(99)00278-5
OpenAlex ID: W2088095516
description: scientific article; zbMATH DE number 1454484