{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T04:40:08Z","timestamp":1750480808546,"version":"3.41.0"},"reference-count":10,"publisher":"Cambridge University Press (CUP)","issue":"4","license":[{"start":{"date-parts":[[2005,7,19]],"date-time":"2005-07-19T00:00:00Z","timestamp":1121731200000},"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":[[2005,8]]},"abstract":"<jats:p>This note gives a proof of the equivalence between two expressions of \nthe moving-average impact matrix; one is given by Johansen (1995, <jats:italic>Likelihood-Based Inference in Cointegrated \nVector Autoregressive Models<\/jats:italic>) and Paruolo (1997, <jats:italic>Econometric Theory<\/jats:italic> 13, 79\u2013118), \nand the other appears in Phillips (1998, \n<jats:italic>Journal of Econometrics<\/jats:italic> 83, 21\u201356) as the limit of the \nimpulse response function. Because these expressions are shown to be \nparametrically equivalent, we can make the same statistical inference \nabout the impact matrix based on either Johansen (1995) and Paruolo (1997) or \nPhillips (1998).<\/jats:p>","DOI":"10.1017\/s0266466605050449","type":"journal-article","created":{"date-parts":[[2005,7,26]],"date-time":"2005-07-26T17:17:06Z","timestamp":1122398226000},"page":"870-875","source":"Crossref","is-referenced-by-count":1,"title":["EQUIVALENCE OF TWO EXPRESSIONS OF THE IMPACT MATRIX"],"prefix":"10.1017","volume":"21","author":[{"given":"Eiji","family":"Kurozumi","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Hiroaki","family":"Chigira","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Taku","family":"Yamamoto","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2005,7,19]]},"reference":[{"key":"S0266466605050449_ref002","doi-asserted-by":"crossref","unstructured":"Faliva, M. & M.G. Zoia (2002)On a partitioned inversion formula having useful applications ineconometrics.Econometric Theory 18,525\u2013530.","DOI":"10.1017\/S0266466602182120"},{"key":"S0266466605050449_ref006","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1995)Likelihood-Based Inference in Cointegrated Vector AutoregressiveModels.Oxford University Press.","DOI":"10.1093\/0198774508.001.0001"},{"key":"S0266466605050449_ref004","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1988)Statistical analysis of cointegration vectors.Journal of Economic Dynamics and Control 12,231\u2013254.","DOI":"10.1016\/0165-1889(88)90041-3"},{"key":"S0266466605050449_ref010","doi-asserted-by":"crossref","unstructured":"Phillips, P.C.B. (1998)Impulse response and forecast error variance asymptotics innonstationary VARs.Journal of Econometrics 83,21\u201356.","DOI":"10.1016\/S0304-4076(97)00064-X"},{"key":"S0266466605050449_ref007","doi-asserted-by":"crossref","unstructured":"Johansen, S. (2002)A small sample correction for the test of cointegrating rank in thevector autoregressive model.Econometrica 70,1929\u20131961.","DOI":"10.1111\/1468-0262.00358"},{"key":"S0266466605050449_ref008","doi-asserted-by":"crossref","unstructured":"Omtzigt, P. & P. Paruolo (2005)Impact Factors.Journal of Econometrics,forthcoming.","DOI":"10.1016\/j.jeconom.2004.08.007"},{"key":"S0266466605050449_ref009","doi-asserted-by":"crossref","unstructured":"Paruolo, P. (1997)Asymptotic inference on the moving average impact matrix incointegrated I(1) VAR systems.Econometric Theory 13,79\u2013118.","DOI":"10.1017\/S026646660000565X"},{"key":"S0266466605050449_ref003","doi-asserted-by":"crossref","unstructured":"Hansen, P. & S. Johansen (1998)Workbook on Cointegration.Oxford University Press.","DOI":"10.1093\/oso\/9780198776086.001.0001"},{"key":"S0266466605050449_ref005","doi-asserted-by":"crossref","unstructured":"Johansen, S. (1991)Estimation and hypothesis testing of cointegration vectors inGaussian vector autoregressive models.Econometrica 59,1551\u20131580.","DOI":"10.2307\/2938278"},{"key":"S0266466605050449_ref001","doi-asserted-by":"crossref","unstructured":"Arai, Y. & T. Yamamoto (2000)Alternative representation for asymptotic distributions of impulseresponses in cointegrated VAR systems.Economics Letters 67,261\u2013271.","DOI":"10.1016\/S0165-1765(99)00278-5"}],"container-title":["Econometric Theory"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0266466605050449","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2025,6,21]],"date-time":"2025-06-21T03:58:39Z","timestamp":1750478319000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0266466605050449\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2005,7,19]]},"references-count":10,"journal-issue":{"issue":"4","published-print":{"date-parts":[[2005,12]]}},"alternative-id":["S0266466605050449"],"URL":"https:\/\/doi.org\/10.1017\/s0266466605050449","relation":{},"ISSN":["0266-4666","1469-4360"],"issn-type":[{"type":"print","value":"0266-4666"},{"type":"electronic","value":"1469-4360"}],"subject":[],"published":{"date-parts":[[2005,7,19]]}}}