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The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

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Søren Johansen

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Abstract

We show that the asymptotic distribution of the estimated stationary roots in a vector autoregressive model is Gaussian. A simple expression for the asymptotic variance in terms of the roots and the eigenvectors of the companion matrix is derived. The results are extended to the cointegrated vector autoregressive model and we discuss the implementation of the results for complex roots. Copyright 2003 Blackwell Publishing Ltd.

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Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 24 (2003)
Issue (Month): 6 (November)
Pages: 663-678
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Handle: RePEc:bla:jtsera:v:24:y:2003:i:6:p:663-678

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  1. Onatski, Alexei & Uhlig, Harald, 2009. "Unit Roots in White Noise," MPRA Paper 14057, University Library of Munich, Germany. [Downloadable!]
  2. Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics. [Downloadable!]
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  3. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 273-307. [Downloadable!] (restricted)
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