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Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process

Published online by Cambridge University Press:  18 October 2010

Helmut Lütkepohl
Helmut Lütkepohl
Affiliation:
Christian-Albrechts-Universität Kiel
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Abstract

The coefficients of the moving average (MA) representation of a vector autoregressive (VAR) process are the dynamic multipliers of the system. These quantities are often used to analyze the relationships between the variables involved. Assuming that the actual data generation process is stationary and has a VAR representation of unknown and possibly infinite order, the asymptotic distribution of the MA coefficients is derived. A computationally simple formula for the asymptotic co variance matrix is obtained.

Type
Articles
Information
Econometric Theory , Volume 4 , Issue 1 , April 1988 , pp. 77 - 85
Copyright
Copyright © Cambridge University Press 1988

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References

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