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Standard Errors for the Long-Run Variance Matrix

Published online by Cambridge University Press:  11 February 2009

Abstract

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Problems
Copyright
Copyright © Cambridge University Press 1997

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References

REFERENCE

Johansen, S. (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.CrossRefGoogle Scholar
Magnus, J.R. & Neudecker, H. (1988) Matrix Differential Calculus with Applications in Statistics and Econometrics. Chichester, UK: John Wiley & Sons.Google Scholar
Paruolo, P. (1997) Asymptotic inference on the moving average impact matrix in cointegrated 1(1) VAR systems. Econometric Theory 13, 79118.CrossRefGoogle Scholar