Stefan Mittnik, Peter A. Zadrozny, Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models, Econometrica, Vol. 61, No. 4 (Jul., 1993), pp. 857-870
No takes yet. Share an insight, caveat, or question.
Mittnik et al. (1993) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: