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

Yoichi Arai; Taku Yamamoto

doi:10.1016/s0165-1765(99)00278-5

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

Yoichi Arai^*, Taku Yamamoto

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

We show an alternative representation for the asymptotic distributions of impulse responses in cointegrated VAR systems. Our representation has the advantage that the asymptotic variances are convergent at long horizons.

Original language	English
Pages (from-to)	261-271
Number of pages	11
Journal	Economics Letters
Volume	67
Issue number	3
DOIs	https://doi.org/10.1016/s0165-1765(99)00278-5
Publication status	Published - 2000 Jun
Externally published	Yes

Keywords

C32
Cointegration
Impulse response
Reduced rank regression

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/s0165-1765(99)00278-5

Cite this

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title = "Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems",

abstract = "We show an alternative representation for the asymptotic distributions of impulse responses in cointegrated VAR systems. Our representation has the advantage that the asymptotic variances are convergent at long horizons.",

keywords = "C32, Cointegration, Impulse response, Reduced rank regression",

author = "Yoichi Arai and Taku Yamamoto",

note = "Funding Information: Arai{\textquoteright}s research was partially supported by the Japan Society for the Promotion of Science and Yamamoto{\textquoteright}s research was partially supported by the Ministry of Education, Science and Culture under Grants-in-Aid No. 10630021. ",

year = "2000",

month = jun,

doi = "10.1016/s0165-1765(99)00278-5",

language = "English",

volume = "67",

pages = "261--271",

journal = "Economics Letters",

issn = "0165-1765",

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T1 - Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems

AU - Arai, Yoichi

AU - Yamamoto, Taku

N1 - Funding Information: Arai’s research was partially supported by the Japan Society for the Promotion of Science and Yamamoto’s research was partially supported by the Ministry of Education, Science and Culture under Grants-in-Aid No. 10630021.

PY - 2000/6

Y1 - 2000/6

N2 - We show an alternative representation for the asymptotic distributions of impulse responses in cointegrated VAR systems. Our representation has the advantage that the asymptotic variances are convergent at long horizons.

AB - We show an alternative representation for the asymptotic distributions of impulse responses in cointegrated VAR systems. Our representation has the advantage that the asymptotic variances are convergent at long horizons.

KW - C32

KW - Cointegration

KW - Impulse response

KW - Reduced rank regression

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UR - http://www.scopus.com/inward/citedby.url?scp=0034389928&partnerID=8YFLogxK

U2 - 10.1016/s0165-1765(99)00278-5

DO - 10.1016/s0165-1765(99)00278-5

M3 - Article

AN - SCOPUS:0034389928

SN - 0165-1765

VL - 67

SP - 261

EP - 271

JO - Economics Letters

JF - Economics Letters

IS - 3

ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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