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

Authors
Arai, Y Yamamoto, T
Citation
Y. Arai et T. Yamamoto, Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems, ECON LETT, 67(3), 2000, pp. 261-271
Citations number
5
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
67
Issue
3
Year of publication
2000
Pages
261 - 271
Database
ISI
SICI code
0165-1765(200006)67:3<261:ARFADO>2.0.ZU;2-E
Abstract
We show an alternative representation for the asymptotic distributions of i mpulse responses in cointegrated VAR systems. Our representation has the ad vantage that the asymptotic variances are convergent at long horizons. (C) 2000 Elsevier Science S.A. All rights reserved.