ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX IN COINTEGRATED I (2) VAR SYSTEMS
复制标题
协整I(2)VAR系统中移动平均影响矩阵的渐近推论
DOI：
10.1017/s0266466602183058
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发表时间：
2002
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
本文给出了二阶积分向量自回归（VAR）过程二阶差分的移动平均（MA）影响矩阵的渐近标准误差I（2）。还提供了MA影响矩阵的行空间的标准误差;该行空间的基定义了常见的I（2）趋势线性组合。然后，这些标准误差用于制定Wald型检验。MA的影响矩阵被证明是连接到影响因素，衡量系统的增长率上的不平衡误差的总影响。大多数相关的极限分布是高斯分布，我们报告人工回归，可用于计算渐近方差的估计。在英国的货币数据说明了本文中提出的技术的使用。
This paper provides asymptotic standard errors for the moving average (MA) impact matrix for the second differences of a vector autoregressive (VAR) process integrated of order 2, I(2). Standard errors of the row space of the MA impact matrix are also provided; bases of this row space define the common I(2) trends linear combinations. These standard errors are then used to formulate Wald-type tests. The MA impact matrix is shown to be linked to impact factors that measure the total effect of disequilibrium errors on the growth rate of the system. Most of the relevant limit distributions are Gaussian, and we report artificial regressions that can be used to calculate the estimators of the asymptotic variances. The use of the techniques proposed in the paper is illustrated on UK money data.