Fully Modified Vector Autoregressive Inference in Partially Nonstationary Models

DOI10.2307/2670128MaRDI QIDQ4216974zbMATH OpenOpenAlexFDO

Authors Carmela E. Qintos

Publication date 1 February 2001

Full work available at URL https://doi.org/10.2307/2670128

zbMATH Keywords

causality testingcointegrationfully modified regressionvector autoregression

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(10)

• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• Estimation of partially nonstationary vector autoregressive models with seasonal behavior
• Nonparametric tests for unit roots and cointegration.
• A unifying theory of tests of rank
• Modified lag augmented vector autoregressions
• Fully Modified Least Squares and Vector Autoregression
• A comparison of some common methods for detecting Granger noncausality
• ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE
• A simple cointegrating rank test without vector autoregression
• On a Partially Non-Stationary Vector AR Model with Vector GARCH Noises: Estimation and Testing

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