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Making Wald Tests Work for Cointegrated Systems

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorDolado, Juan José
dc.contributor.authorLüktepohl, Helmut
dc.date.accessioned2008-12-11T10:57:26Z
dc.date.accessioned2012-02-23T13:33:04Z
dc.date.available2008-12-11T10:57:26Z
dc.date.available2012-02-23T13:33:04Z
dc.date.issued1996
dc.description.abstractWald 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.
dc.description.statusPublicado
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dc.format.mimetypeapplication/pdf
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dc.identifier.bibliographicCitationEconometrics Reviews, 1996, 15, 4, p. 369-386
dc.identifier.issn1532-4168
dc.identifier.publicationfirstpage369
dc.identifier.publicationissue4
dc.identifier.publicationlastpage386
dc.identifier.publicationtitleEconometrics Reviews
dc.identifier.publicationvolume15
dc.identifier.urihttps://hdl.handle.net/10016/3306
dc.language.isoeng
dc.publisherTaylor and Francis
dc.rights©1996 by Marcel Dekker
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.titleMaking Wald Tests Work for Cointegrated Systems
dc.typeresearch article*
dc.type.hasVersionAM*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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