Asymptotic Inference on the Moving Average Impact Matrix in Cointegrated 1(1) VAR Systems
研究了协整向量自回归过程中移动平均影响矩阵及其行、列空间的推断问题，推导了极大似然估计量和渐近分布，并给出了Wald型检验。
This paper addresses the problem of inference on the moving average impact matrix and on its row and column spaces in cointegrated 1(1) VAR processes. The choice of bases (i.e., the identification) of these spaces, which is of interest in the definition of the common trend structure of the system, is discussed. Maximum likelihood estimators and their asymptotic distributions are derived, making use of a relation between properly normalized bases of orthogonal spaces, a result that may be of separate interest. Finally, Wald-type tests are given, and their use in connection with existing likelihood ratio tests is discussed.