Asymptotic Inference on Nonlinear Functions of
نویسنده
چکیده
In cointegrated vector autoregressive (VAR) analyses various nonlinear functions of the co-eecients are of interest. Notable examples are impulse responses. A general theory for asymptotic inference on such functions is developed under the assumption that the actual data generation process (DGP) is of potentially innnite VAR order although nite order VAR models are tted to the data and are used for computing the quantities of interest. In the asymptotic theory the VAR order is assumed to grow with the sample size albeit at a smaller rate. in Canberra. We thank Kirstin Hubrich for comments. The paper was printed using funds made available by the Deutsche Forschungsgemeinschaft.
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