Making Wald Tests Work for Cointegrated Systems

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dc.contributor.author Dolado, Juan José
dc.contributor.author Lüktepohl, Helmut
dc.date.accessioned 2008-12-11T10:57:26Z
dc.date.accessioned 2012-02-23T13:33:04Z
dc.date.available 2008-12-11T10:57:26Z
dc.date.available 2012-02-23T13:33:04Z
dc.date.issued 1996
dc.identifier.bibliographicCitation Econometrics Reviews, 1996, 15, 4, p. 369-386
dc.identifier.issn 1532-4168
dc.identifier.uri http://hdl.handle.net/10016/3306
dc.description.abstract Wald 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.format.mimetype text/html
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso eng
dc.publisher Taylor and Francis
dc.rights ©1996 by Marcel Dekker
dc.title Making Wald Tests Work for Cointegrated Systems
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version acceptedVersion
dc.identifier.publicationfirstpage 369
dc.identifier.publicationissue 4
dc.identifier.publicationlastpage 386
dc.identifier.publicationtitle Econometrics Reviews
dc.identifier.publicationvolume 15
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