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Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems

Published online by Cambridge University Press:  11 February 2009

Paolo Paruolo
University of Bologna


This paper addresses the problem of inference on the moving average impact matrix and on its row and column spaces in cointegrated 1(1) VAR processes. The choice of bases (i.e., the identification) of these spaces, which is of interest in the definition of the common trend structure of the system, is discussed. Maximum likelihood estimators and their asymptotic distributions are derived, making use of a relation between properly normalized bases of orthogonal spaces, a result that may be of separate interest. Finally, Wald-type tests are given, and their use in connection with existing likelihood ratio tests is discussed.

Copyright © Cambridge University Press 1997

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