Infinite Order Cointegrated Vector Autoregressive Processes:Estimation and Inference

Helmut Lütkepohl · Petti Saikkonon

31 citations0/0 files storedRePEc: Research Papers in Economics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Advanced Statistical Methods and Models Diverse Scientific and Economic Studies

Abstract

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, Econometric Theory 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector autoregressive (VAR) representations are derived under the assumption that the autoregressive order goes to infinity with the sample size. These coefficients are often used for analyzing the relationships between the variables; therefore, they are important for applied work. Tests for linear restrictions on the coefficients of both the ECM and the pure VAR representation are considered under the present assumptions. It is found that they have limiting x2 distributions. Tests are also derived under the assumption that the number of restrictions goes to infinity with the sample size.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 31 citations exist upstream.

References

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1995Statistical inference in vector autoregressions with possibly integrated processes 1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order 1990Inference in Linear Time Series Models with some Unit Roots 1993Introduction to Multiple Time Series Analysis 1991Asymptotically Efficient Estimation of Cointegration Regressions 1991Estimating Long-Run Economic Equilibria 1988Statistical Inference in Regressions with Integrated Processes: Part 1

Cited by

2011Commodity prices and inflation: Testing in the frequency domain 2000Bootstrapping impulse responses in VAR analyses 2013An asymptotic invariance property of the common trends under linear transformations of the data

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.