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Equivalence Of Two Expressions Of The Impact Matrix

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  • Kurozumi, Eiji
  • Chigira, Hiroaki
  • Yamamoto, Taku

Abstract

This note gives a proof of the equivalence between two expressions of the moving-average impact matrix; one is given by Johansen (1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models) and Paruolo (1997, Econometric Theory 13, 79–118), and the other appears in Phillips (1998, Journal of Econometrics 83, 21–56) as the limit of the impulse response function. Because these expressions are shown to be parametrically equivalent, we can make the same statistical inference about the impact matrix based on either Johansen (1995) and Paruolo (1997) or Phillips (1998).

Suggested Citation

  • Kurozumi, Eiji & Chigira, Hiroaki & Yamamoto, Taku, 2005. "Equivalence Of Two Expressions Of The Impact Matrix," Econometric Theory, Cambridge University Press, vol. 21(4), pages 870-875, August.
    • Handle: RePEc:cup:etheor:v:21:y:2005:i:04:p:870-875_05
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