抄録
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.
| 元の言語 | English |
|---|---|
| ページ（範囲） | 261-271 |
| ページ数 | 11 |
| ジャーナル | Economics Letters |
| 巻 | 67 |
| 発行部数 | 3 |
| 出版物ステータス | Published - 2000 6 1 |
| 外部発表 | Yes |
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ASJC Scopus subject areas
- Economics and Econometrics
- Finance
これを引用
Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems. / Arai, Yoichi; Yamamoto, Taku.
：: Economics Letters, 巻 67, 番号 3, 01.06.2000, p. 261-271.研究成果: Article
}
TY - JOUR
T1 - Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
AU - Arai, Yoichi
AU - Yamamoto, Taku
PY - 2000/6/1
Y1 - 2000/6/1
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
UR - http://www.scopus.com/inward/record.url?scp=0034389928&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0034389928&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0034389928
VL - 67
SP - 261
EP - 271
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 3
ER -