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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
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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

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References

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