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

Yoichi Arai, Taku Yamamoto

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)261-271
Number of pages11
JournalEconomics Letters
Volume67
Issue number3
DOIs
Publication statusPublished - 2000 Jun

Keywords

  • C32
  • Cointegration
  • Impulse response
  • Reduced rank regression

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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