Making wald tests work for cointegrated VAR systems
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Recommendations
- Testing for the cointegrating rank of a VAR process with a time trend
- A lag augmentation test for the cointegrating rank of a VAR process
- Statistical inference in vector autoregressions with possibly integrated processes
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
Cites work
Cited in
(50)- A lag augmentation test for the cointegrating rank of a VAR process
- The spurious effect of unit roots on vector autoregressions. An analytical study
- Statistical inference in vector autoregressions with possibly integrated processes
- Modified Wald tests under nonregular conditions
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Delta-method inference for a class of set-identified SVARs
- Foreign direct investment, exports and domestic performance in Mexico: a causality analysis.
- Higher order approximations for Wald statistics in time series regressions with integrated processes.
- Comparison of local projection estimators for proxy vector autoregressions
- Ridge regression revisited: debiasing, thresholding and bootstrap
- The uniform validity of impulse response inference in autoregressions
- Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
- A Wald test of restrictions on the cointegrating space based on Johansen's estimator
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Subsampling vector autoregressive tests of linear constraints
- Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
- Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
- On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
- A new robust inference for predictive quantile regression
- Short run and long run causality in time series: inference
- Testing for short- and long-run causality: a frequency-domain approach
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- The Wald-Type Test of a Normalization of Cointegrating Vectors
- Multivariate-based causality tests of twin deficits in the US
- Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
- ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
- Wald Tests and Systems of Stochastic Equations
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
- The relationship between budgetary expenditure and economic growth in Poland
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Modified lag augmented vector autoregressions
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Partial unit root and surplus-lag Granger causality testing: a Monte Carlo simulation study
- Alternative asymptotics for cointegration tests in large VARs
- Enhancing the local power of IVX-based tests in predictive regressions
- Instrumental variable and variable addition based inference in predictive regressions
- Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
- INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
- CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
- A revisitation of the export-led growth hypothesis in Malaysia using the leveraged bootstrap simulation and rolling causality techniques
- On the limit theory of mixed to unity VARs: panel setting with weakly dependent errors
- Persistence-robust surplus-lag Granger causality testing
- A comparison of some common methods for detecting Granger noncausality
- Invariance and the Wald test
- Asymptotically Valid Bootstrap Inference for Proxy SVARs
- Asymptotic inference for Hasbrouck information shares
- Dynamics of network structure in cryptocurrency markets during abrupt changes in Bitcoin price
- Uniform inference for cointegrated vector autoregressive processes
- Inference for local projections
- Estimation and inference of the forecast error variance decomposition for set-identified SVARs
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