Dolado, Juan JoséLüktepohl, Helmut2008-12-112012-02-232008-12-112012-02-231996Econometrics Reviews, 1996, 15, 4, p. 369-3861532-4168https://hdl.handle.net/10016/3306Wald 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.text/htmlapplication/pdftext/plaineng©1996 by Marcel Dekkerresearch articleEconomíaopen access3694386Econometrics Reviews15