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...

Tests for Granger-causality have been performed in numerous empirical studies. These tests are usually based on finite order vector autoregressive (VAR) processes, and the assumption is made that the model fitted to the available data corresponds to the true data generating mechanism. In the...

Impulse response functions from time series models are standard tools for analyzing the relationship between economic variables. The asymptotic distribution of orthogonalized impulse responses is derived under the assumption that finite order vector autoregressive (VAR) models are fitted to time...

Estimation of cointegrated systems via autoregressive approximation is considered in the framework developed by Saikkonen (1992, <italic>Econometric Theory</italic> 8, 1-27). The asymptotic properties of the estimated coefficients of the autoregressive error correction model (ECM) and the pure vector...