Hostname: page-component-586b7cd67f-gb8f7 Total loading time: 0 Render date: 2024-11-24T19:48:17.034Z Has data issue: false hasContentIssue false
  • English
  • Français

EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX

Published online by Cambridge University Press:  19 July 2005

Eiji Kurozumi ,
Hiroaki Chigira  and
Taku Yamamoto
Eiji Kurozumi
Affiliation:
Hitotsubashi University
Hiroaki Chigira
Affiliation:
Hitotsubashi University
Taku Yamamoto
Affiliation:
Hitotsubashi University
Get access Rights & Permissions [Opens in a new window]

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).

Type
NOTES AND PROBLEMS
Information
Econometric Theory , Volume 21 , Issue 4 , August 2005 , pp. 870 - 875
Copyright
© 2005 Cambridge University Press

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

Arai, Y. & T. Yamamoto (2000) Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems. Economics Letters 67, 261–271.Google Scholar
Faliva, M. & M.G. Zoia (2002) On a partitioned inversion formula having useful applications in econometrics. Econometric Theory 18, 525–530.Google Scholar
Hansen, P. & S. Johansen (1998) Workbook on Cointegration. Oxford University Press.
Johansen, S. (1988) Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12, 231–254.Google Scholar
Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59, 1551–1580.Google Scholar
Johansen, S. (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press.
Johansen, S. (2002) A small sample correction for the test of cointegrating rank in the vector autoregressive model. Econometrica 70, 1929–1961.Google Scholar
Omtzigt, P. & P. Paruolo (2005) Impact Factors. Journal of Econometrics, forthcoming.Google Scholar
Paruolo, P. (1997) Asymptotic inference on the moving average impact matrix in cointegrated I(1) VAR systems. Econometric Theory 13, 79–118.Google Scholar
Phillips, P.C.B. (1998) Impulse response and forecast error variance asymptotics in nonstationary VARs. Journal of Econometrics 83, 21–56.Google Scholar