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Standard Errors for the Long-Run Variance Matrix

Published online by Cambridge University Press:  11 February 2009

Paolo Paruolo
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Type
Problems
Information
Econometric Theory , Volume 13 , Issue 2 , April 1997 , pp. 305 - 306
Copyright
Copyright © Cambridge University Press 1997

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References

REFERENCE

Johansen, S. (1995) Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford: Oxford University Press.CrossRefGoogle Scholar
Magnus, J.R. & Neudecker, H. (1988) Matrix Differential Calculus with Applications in Statistics and Econometrics. Chichester, UK: John Wiley & Sons.Google Scholar
Paruolo, P. (1997) Asymptotic inference on the moving average impact matrix in cointegrated 1(1) VAR systems. Econometric Theory 13, 79–118.CrossRefGoogle Scholar