{"entities":{"Q1314477":{"pageid":1325227,"ns":120,"title":"Item:Q1314477","lastrevid":68439075,"modified":"2026-04-12T23:43:11Z","type":"item","id":"Q1314477","labels":{"en":{"language":"en","value":"The spurious effect of unit roots on vector autoregressions. An analytical study"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 502943"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$DCE512FD-A936-4FA0-9EBA-CD2A3A179990","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"a9bab02cf30ec187464b631a2ecf9a0f7df81bbf","datavalue":{"value":{"text":"The spurious effect of unit roots on vector autoregressions. An analytical study","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q1314477$235156A4-BA0D-4ACA-8F91-AE81C0DABB4B","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"ce1814174e8881a78a0c721229f46a3468ce7ce3","datavalue":{"value":"0811.62085","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$91E5E068-0EA0-4FBC-8AA1-1137A6852BC9","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"d0578b480a4ee7eb1edb28bd83680a9d7302a9f3","datavalue":{"value":"10.1016/0304-4076(93)90024-Y","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$495CE471-4B95-4AE2-8149-002338083EE2","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"6fb06921667299c279c65ded4d92e91103cc0c05","datavalue":{"value":{"entity-type":"item","numeric-id":811714,"id":"Q811714"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$0304351B-3D49-42D6-9EC9-1DCAFD343BF9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"315959d3f5f2040f3a610db605024f4c87f39fe4","datavalue":{"value":{"entity-type":"item","numeric-id":274886,"id":"Q274886"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$18044551-D5B0-4EA7-A2AD-F7805722F3B3","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"332658daa53d60e95e1d3b2af72a36f10dd4dd47","datavalue":{"value":{"entity-type":"item","numeric-id":58362,"id":"Q58362"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$2BFEADE1-C19F-4BB4-860E-1894F7F3B9A1","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"84bd89f27c8cb1358368760527e3f52344795b6d","datavalue":{"value":{"time":"+1993-00-00T00:00:00Z","timezone":0,"before":0,"after":0,"precision":9,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q1314477$4AF4CB5C-3A95-419D-9CF5-FE0CCB03C62D","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"300e5415f65561cfc9674623017ca9de69c7aec8","datavalue":{"value":"This paper considers specifically the spurious inference problem for ``exogeneity tests''. The inclusion of a statistically independent random walk (RW) in a vector autoregression (VAR) was raised originally by \\textit{L. E. Ohanian} [ibid. 39, 251-266 (1988)]. This paper provides a full analytical study of the above problem using the methodology developed by \\textit{J. Y. Park} and the second author [Econ. Theory 4, 468-497 (1988); ibid. 5, 95-131 (1989)], and it gives the derivation of the asymptotic distribution of the Wald statistic.   Two cases are considered in this study: the case in which the genuine variables are \\(I(1)\\), i.e., integrated of order one, and the case in which they are \\(I(0)\\), i.e., stationary. The results show some differences in each of the two cases. The Wald statistic always converges to a nonstandard distribution if the variables are \\(I(1)\\), and do not have a deterministic trend. The inclusion of an independent RW variable in a stationary VAR estimation does not cause any bias in the test, at least asymptotically. The paper is accompanied by some simulated critical values for the nonstandard distributions.","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$98205C9E-361E-48C8-8C55-923E6DBE084E","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"1179c6cdfc1e6cfa1ccf347b858a5b5914f11cdc","datavalue":{"value":"62M10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$BC5DD209-CC86-499A-BF49-73C8F433BADD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"5ff603baad6e626164b90c8b8447bf06d7701153","datavalue":{"value":"62P20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$30A0489C-643A-4DE3-B7D1-885BEDD22853","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"0eaa5108d816b391838b6525ab0bd223bfb0208a","datavalue":{"value":"502943","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$0D05B03C-346B-48B3-9C11-8F52D441600F","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a3a476a30eaefd26bf489fe4572815e150a5a572","datavalue":{"value":"exogeneity tests","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$3FCFEC2A-F8EA-4438-8992-91A05B4B37F9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"14979e2ee231a96c23e1914dea353839bb61363b","datavalue":{"value":"spurious inference","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$2E335DB4-4CF2-429A-98C1-11E2BFEAECE0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5de1bf0419041cc2a2f032d2d1da8be09b2b52d7","datavalue":{"value":"vector autoregression","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$3F96E548-BB0C-4DA6-97F4-75FF3DB4F848","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"de6caa34e2365e528567a5a4eb5b8b1504bfdc8a","datavalue":{"value":"asymptotic distribution of the Wald statistic","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$4DF4F705-315A-410B-B64F-D3F6236AF97E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"903a74449e41ed9fdf4ca53089a81daad6bb0a7f","datavalue":{"value":"stationary VAR estimation","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$535AC7DA-90F8-4F2A-9065-AA2E5F476073","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"6f977c84fa75dee96f970cc8d92445442f7a09f6","datavalue":{"value":"simulated critical values","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$14A91C10-7B38-47EC-9E10-61EFCE6A9B63","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"251e0c112b38620375d5eb0f1f96ab5752c16245","datavalue":{"value":"nonstandard distributions","type":"string"},"datatype":"string"},"type":"statement","id":"Q1314477$ED4E68A3-F205-44D3-BA7F-65DF63E02F87","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$64900C0D-E769-4AB8-8E02-FDC6ABE77CBA","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"3edff6064004623a52f78791d8778ee8a22faaa0","datavalue":{"value":{"entity-type":"item","numeric-id":5631966,"id":"Q5631966"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$597BC870-561D-4028-9FF1-6D1F6A05750A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"908c8b6ff2646dbec160894c18951b927cc55df7","datavalue":{"value":{"entity-type":"item","numeric-id":3947020,"id":"Q3947020"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$1AB71CE6-53BB-4D83-8D02-14AFADA125DB","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"891cf419ca65e54e340d0b384d3150bdd1ddc250","datavalue":{"value":{"entity-type":"item","numeric-id":1116576,"id":"Q1116576"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$F55607D8-8DA1-469A-B392-F3D9FFD353E8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"79c2011c51166e5b9e6d759d1f1be8e5838676a2","datavalue":{"value":{"entity-type":"item","numeric-id":1222926,"id":"Q1222926"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$5A20B604-9643-4ADA-80E6-9A524B86DA30","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a7d902cfe1ba9332982d6628ab7564a94544bb51","datavalue":{"value":{"entity-type":"item","numeric-id":5966603,"id":"Q5966603"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$21A44B61-61E4-40E1-8BFD-DA34861CDCCF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ba0ff052a39c86cbdeb114e2575498988c5f7d2f","datavalue":{"value":{"entity-type":"item","numeric-id":1082027,"id":"Q1082027"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$F131AFC0-B197-4191-B127-29FFBD0497E6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"f917b4352ca38da45ddc8e8aec8ade86679ec1a8","datavalue":{"value":{"entity-type":"item","numeric-id":1193361,"id":"Q1193361"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$45E10FA9-1DD1-4B8B-9375-55D796391DF3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"8500be07bde95bc39307620290396a8b6185c226","datavalue":{"value":{"entity-type":"item","numeric-id":3212160,"id":"Q3212160"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$ACAE05EC-296C-4D9D-A08C-DE4E0609FB64","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a9a277d744771cc9e8d02b55d1e98f6fe2eec428","datavalue":{"value":{"entity-type":"item","numeric-id":4286289,"id":"Q4286289"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$BDD03D16-A0EF-4B21-AC14-F2D13F120F61","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"dcae041e6f08b0d3874e45538c51ae68f67c5eee","datavalue":{"value":{"entity-type":"item","numeric-id":918100,"id":"Q918100"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q1314477$E8CE97FF-C629-457A-AAAD-319F8BC80AF3","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"b588785fb1b94491f662c08f875218244a8aa187","datavalue":{"value":"https://doi.org/10.1016/0304-4076(93)90024-y","type":"string"},"datatype":"url"},"type":"statement","id":"Q1314477$3BDF3499-3021-4BA9-8A38-F26F84175F3C","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"34a7d2de8e2669cbe7dac25f15db876217ed65a0","datavalue":{"value":"W1539337071","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q1314477$D785F43D-D67F-4315-A9AC-95F3CD9716A2","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"985fc7387f0eb596bc33c2eb87837878e2f46280","datavalue":{"value":{"entity-type":"item","numeric-id":4355151,"id":"Q4355151"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"97c27b2568a613e28eeb920cdafae28bc2b6a780","datavalue":{"value":{"amount":"+0.8043908476829529","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1314477$428706C4-663C-46A4-A90B-315153F30449","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"ee759f064b3dae48ca7d326dc7750d238e9c3f10","datavalue":{"value":{"entity-type":"item","numeric-id":3212160,"id":"Q3212160"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"f33b56fa4ab23cf88cdb511cae192aacc77589b8","datavalue":{"value":{"amount":"+0.7846692800521851","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1314477$B921D88C-A6CA-4ADF-8E49-0620E76B0671","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"066943e593b7ed092a869c4a559a416411d0c866","datavalue":{"value":{"entity-type":"item","numeric-id":4860427,"id":"Q4860427"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"aa6003095bc3a4a57f4a3636656fd330d5586ce8","datavalue":{"value":{"amount":"+0.7720051407814026","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1314477$D20B76F8-7DE4-4A0C-A6F6-9F7839D55BD6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a3a5011ffa4efd9dc081cf132a3fa2cd8038b552","datavalue":{"value":{"entity-type":"item","numeric-id":1082027,"id":"Q1082027"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"03ee315ba3d9a15b1c47a95999e36d1bd03885ad","datavalue":{"value":{"amount":"+0.7694584131240845","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1314477$1E080911-A079-4ECD-ACE1-35B6F3C93C8B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"887a2cba4703d408e4c781f32ce84b261f132c3d","datavalue":{"value":{"entity-type":"item","numeric-id":156114,"id":"Q156114"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"73a254a184627c9db1c2f1af48ddbda84cddffca","datavalue":{"value":{"amount":"+0.7689222097396851","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q1314477$AB5C579A-BF19-4921-B0AD-C8A02CD40809","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"The spurious effect of unit roots on vector autoregressions. An analytical study","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/The_spurious_effect_of_unit_roots_on_vector_autoregressions._An_analytical_study"}}}}}