Innnite Order Cointegrated Vector Autoregressive Processes: Estimation and Inference
نویسنده
چکیده
Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992). The asymptotic properties of the estimated coeecients of the autoregressive ECM (error correction model) and the pure VAR (vector autoregressive) representations are derived under the assumption that the autoregressive order goes to innnity with the sample size. These coeecients are often used for analyzing the relationships between the variables. Therefore they are important for applied work. Tests for linear restrictions on the coeecients of both the ECM and the pure VAR representation are considered under the present assumptions. It is found that they have limiting 2 distributions. Tests are also derived under the assumption that the number of restrictions goes to innnity with the sample size.
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