The asymptotic variance of the estimated roots in a cointegrated vector autoregressive model

We show that the asymptotic distribution of the estimated stationary roots in a vector autoregressive model is Gaussian. A simple expression for the asymptotic variance in terms of the roots and the eigenvectors of the companion matrix is derived. The results are extended to the cointegrated vector autoregressive model and we discuss the implementation of the results for complex roots. Copyright 2003 Blackwell Publishing Ltd.

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Year of publication:	2003
Authors:	Johansen, Søren
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 24.2003, 6, p. 663-678
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260663