Add to ORKGWald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to have nonstandard asymptotic properties for 1(1) and cointegrated systems of variables. A simple device is proposed which guarantees that Wald tests have asymptotic X2-distributions under general conditions. If the true generation process is a VAR(p) it is proposed to fit a VAR(p+l) to the data and perform a Wald test on the coefficients of the first p lags only. The power properties of the modified tests are studied both analytically and numerically by means of simple illustrative examples.Publicad
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. I...
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift an...
In this paper we re-visit a recent theoretical idea introduced by Phillips and Lee (2015). They exam...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
The usual Wald test for the Granger non-causality in cointegrated vector autoregressive (VAR) proces...
The initial version of the paper was circulated as "The Granger Non-Causality Test in Possibly Coint...
This paper examines the asymptotic properties of the Wald statistic in vector autoregressions that m...
In general, Wald tests for the Granger non-causality in vector autoregressive(VAR) process are known...
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector aut...
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector aut...
This research was supported by the Global COE program of the Research Unit for Statistical and Empir...
This paper studies the estimation and testing of general cointegrated systems by using an autoregres...
The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using t...
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. I...
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift an...
In this paper we re-visit a recent theoretical idea introduced by Phillips and Lee (2015). They exam...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to...
The usual Wald test for the Granger non-causality in cointegrated vector autoregressive (VAR) proces...
The initial version of the paper was circulated as "The Granger Non-Causality Test in Possibly Coint...
This paper examines the asymptotic properties of the Wald statistic in vector autoregressions that m...
In general, Wald tests for the Granger non-causality in vector autoregressive(VAR) process are known...
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector aut...
This paper develops a complete limit theory for Wald tests of Granger causality in levels vector aut...
This research was supported by the Global COE program of the Research Unit for Statistical and Empir...
This paper studies the estimation and testing of general cointegrated systems by using an autoregres...
The Wald test for linear restrictions on cointegrating vectors is compared in finite samples using t...
Testing the cointegrating rank of a vector autoregressive process with an intercept is considered. I...
A test for the cointegrating rank of a vector autoregressive (VAR) process with a possible shift an...
In this paper we re-visit a recent theoretical idea introduced by Phillips and Lee (2015). They exam...