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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- Bent Nielsen & Heino Bohn Nielsen, 2008.
"Properties of Estimated Characteristic Roots,"
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