{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,29]],"date-time":"2026-05-29T11:44:51Z","timestamp":1780055091693,"version":"3.54.0"},"reference-count":0,"publisher":"Cambridge University Press (CUP)","issue":"3","license":[{"start":{"date-parts":[[2002,5,15]],"date-time":"2002-05-15T00:00:00Z","timestamp":1021420800000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.cambridge.org\/core\/terms"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Econom. Theory"],"published-print":{"date-parts":[[2002,6]]},"abstract":"<jats:p>This paper provides asymptotic standard errors for the moving \naverage (MA) impact matrix for the second differences of a vector \nautoregressive (VAR) process integrated of order 2, <jats:italic>I<\/jats:italic>(2). \nStandard errors of the row space of the MA impact matrix are also \nprovided; bases of this row space define the common <jats:italic>I<\/jats:italic>(2) \ntrends linear combinations. These standard errors are then used to \nformulate Wald-type tests. The MA impact matrix is shown to be linked \nto impact factors that measure the total effect of disequilibrium \nerrors on the growth rate of the system. Most of the relevant \nlimit distributions are Gaussian, and we report artificial \nregressions that can be used to calculate the estimators of \nthe asymptotic variances. The use of the techniques proposed \nin the paper is illustrated on UK money data.<\/jats:p>","DOI":"10.1017\/s0266466602183058","type":"journal-article","created":{"date-parts":[[2002,12,11]],"date-time":"2002-12-11T22:13:26Z","timestamp":1039644806000},"page":"673-690","source":"Crossref","is-referenced-by-count":13,"title":["ASYMPTOTIC INFERENCE ON THE MOVING AVERAGE IMPACT MATRIX \nIN COINTEGRATED <i>I<\/i> (2) VAR SYSTEMS"],"prefix":"10.1017","volume":"18","author":[{"given":"Paolo","family":"Paruolo","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2002,5,15]]},"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466602183058","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2019,4,4]],"date-time":"2019-04-04T19:51:00Z","timestamp":1554407460000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466602183058\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2002,5,15]]},"references-count":0,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2002,6]]}},"alternative-id":["S0266466602183058"],"URL":"https:\/\/doi.org\/10.1017\/s0266466602183058","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"value":"0266-4666","type":"print"},{"value":"1469-4360","type":"electronic"}],"subject":[],"published":{"date-parts":[[2002,5,15]]}}}