The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model
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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Volume (Year): 24 (2003)
Issue (Month): 6 (November)
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