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• W2132056929 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." @default.
• W2132056929 created "2016-06-24" @default.
• W2132056929 creator A5065670291 @default.
• W2132056929 date "1988-04-01" @default.
• W2132056929 modified "2023-10-06" @default.
• W2132056929 title "Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process" @default.
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• W2132056929 doi "https://doi.org/10.1017/s0266466600011865" @default.
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