The Asymptotic Variance of the Estimated Roots in a Cointegrated Vector Autoregressive Model
AbstractWe 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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Bibliographic InfoPaper provided by European University Institute in its series Economics Working Papers with number ECO2001/01.
Date of creation: 2001
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- Søren Johansen, 2003. "The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 663-678, November.
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- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002.
"Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features,"
Taylor & Francis Journals, vol. 21(3), pages 273-307.
- Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity and P-T Decomposition in Cointegrated VAR Systems with Common Features," CESifo Working Paper Series 660, CESifo Group Munich.
- Bent Nielsen & Heino Bohn Nielsen, 2008.
"Properties of etimated characteristic roots,"
2008-W07, Economics Group, Nuffield College, University of Oxford.
- Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of Estimated Characteristic Roots," Discussion Papers 08-13, University of Copenhagen. Department of Economics.
- Bent Nielsen & Heino Bohn Nielsen, 2008. "Properties of estimated characteristic roots," Economics Series Working Papers 2008-WO7, University of Oxford, Department of Economics.
- Harald Uhlig & Alexei Onatski, 2009.
"Unit Roots in White Noise,"
2009-004, Becker Friedman Institute for Research In Economics.
- Mauricio, Jose Alberto, 2006. "Exact maximum likelihood estimation of partially nonstationary vector ARMA models," Computational Statistics & Data Analysis, Elsevier, vol. 50(12), pages 3644-3662, August.
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