Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process

B-Tier
Journal: Econometric Theory
Year: 1988
Volume: 4
Issue: 1
Pages: 77-85

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The coefficients of the moving average (MA) representation of a vector autoregressive (VAR) process are the dynamic multipliers of the system. These quantities are often used to analyze the relationships between the variables involved. Assuming that the actual data generation process is stationary and has a VAR representation of unknown and possibly infinite order, the asymptotic distribution of the MA coefficients is derived. A computationally simple formula for the asymptotic co variance matrix is obtained.

Technical Details

RePEc Handle
repec:cup:etheor:v:4:y:1988:i:01:p:77-85_01
Journal Field
Econometrics
Author Count
1
Added to Database
2026-01-25