Exact tests in single equation autoregressive distributed lag models

DOI10.1016/S0304-4076(97)00048-1zbMath0904.62135OpenAlexW1965405678WikidataQ126297389 ScholiaQ126297389MaRDI QIDQ1371376

Jan F. Kiviet, Jean-Marie Dufour

Publication date: 28 October 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00048-1

zbMATH Keywords

unit rootstructural changeexact inferenceMonte Carlo testdynamic regressionARX modelorder of dynamics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Parametric hypothesis testing (62F03)

Related Items (15)

Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics ⋮ BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND ⋮ Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models ⋮ Exact confidence sets and goodness-of-fit methods for stable distributions ⋮ Regression discontinuity designs, white noise models, and minimax ⋮ ESTIMATION-ADJUSTED VAR ⋮ Exact tests of the stability of the Phillips curve: the Canadian case ⋮ Simulation-based finite-sample tests for heteroskedasticity and ARCH effects ⋮ Lag length and mean break in stationary VAR models ⋮ WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL ⋮ Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes ⋮ Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves ⋮ Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions. ⋮ Simulation based finite and large sample tests in multivariate regressions ⋮ Optimal weighted average power similar tests for the covariance structure in the linear regression model

Uses Software

• bootstrap

Cites Work

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• Exact Tests and Confidence sets in Linear Regressions with Autocorrelated Errors
• Nonlinear Hypotheses, Inequality Restrictions, and Non-Nested Hypotheses: Exact Simultaneous Tests in Linear Regressions
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Testing for Unit Roots in Seasonal Time Series
• The bootstrap and Edgeworth expansion
• Econometrics

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