{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,3,6]],"date-time":"2026-03-06T06:54:06Z","timestamp":1772780046670,"version":"3.50.1"},"reference-count":14,"publisher":"Cambridge University Press (CUP)","issue":"1","license":[{"start":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T00:00:00Z","timestamp":1287360000000},"content-version":"unspecified","delay-in-days":8235,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[1988,4]]},"abstract":"<jats:p>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.<\/jats:p>","DOI":"10.1017\/s0266466600011865","type":"journal-article","created":{"date-parts":[[2010,10,18]],"date-time":"2010-10-18T09:12:04Z","timestamp":1287393124000},"page":"77-85","source":"Crossref","is-referenced-by-count":19,"title":["Asymptotic Distribution of the Moving Average Coefficients of an Estimated Vector Autoregressive Process"],"prefix":"10.1017","volume":"4","author":[{"given":"Helmut","family":"L\u00fctkepohl","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2010,10,18]]},"reference":[{"key":"S0266466600011865_ref007","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-61584-9"},{"key":"S0266466600011865_ref011","doi-asserted-by":"publisher","DOI":"10.2307\/1912017"},{"key":"S0266466600011865_ref002","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/66.3.675"},{"key":"S0266466600011865_ref010","doi-asserted-by":"publisher","DOI":"10.2307\/1913891"},{"key":"S0266466600011865_ref001","doi-asserted-by":"publisher","DOI":"10.2307\/1924522"},{"key":"S0266466600011865_ref004","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176342709"},{"key":"S0266466600011865_ref005","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176344081"},{"key":"S0266466600011865_ref006","doi-asserted-by":"publisher","DOI":"10.1016\/0047-259X(85)90027-2"},{"key":"S0266466600011865_ref008","doi-asserted-by":"crossref","first-page":"328","DOI":"10.1111\/j.2517-6161.1980.tb01131.x","article-title":"Asymptotic properties of prediction errors for the multivariate autoregressive model using estimated parameters","volume":"42","author":"Reinsel","year":"1980","journal-title":"Journal of the Royal Statistical Society B"},{"key":"S0266466600011865_ref009","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/71.3.599"},{"key":"S0266466600011865_ref013","doi-asserted-by":"publisher","DOI":"10.2307\/2526365"},{"key":"S0266466600011865_ref012","first-page":"283","volume-title":"Large-scale macroeconometric models","author":"Sims","year":"1981"},{"key":"S0266466600011865_ref014","doi-asserted-by":"publisher","DOI":"10.1093\/biomet\/68.2.485"},{"key":"S0266466600011865_ref003","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(87)90083-2"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466600011865","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,2,26]],"date-time":"2025-02-26T21:33:19Z","timestamp":1740605599000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466600011865\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[1988,4]]},"references-count":14,"journal-issue":{"issue":"1","published-print":{"date-parts":[[1988,4]]}},"alternative-id":["S0266466600011865"],"URL":"https:\/\/doi.org\/10.1017\/s0266466600011865","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[1988,4]]}}}