Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems
Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems
复制标题
协整 1(1) VAR 系统中移动平均影响矩阵的渐近推理
DOI：
10.1017/s026646660000565x
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发表时间：
1997
影响因子：
0.8
通讯作者：
P. Paruolo
中科院分区：
文献类型：
--
作者：
P. Paruolo
本文解决了协整 1(1) VAR 过程中移动平均影响矩阵及其行和列空间的推断问题。讨论了这些空间的基础选择（即识别），这对于系统共同趋势结构的定义很重要。利用正交空间的适当归一化基之间的关系导出最大似然估计量及其渐近分布，这一结果可能是单独感兴趣的。最后，给出了 Wald 型检验，并讨论了它们与现有似然比检验的结合使用。
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.