Modified Wald tests under nonregular conditions

DOI10.1016/S0304-4076(96)00015-2MaRDI QIDQ1362502zbMATH OpenFDO

Authors Maike M. Burda, Helmut Lütkepohl

Publication date 12 August 1997

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

zbMATH Keywords

Wald testcausalitymultiple time seriesvector autoregressive processesnonlinear restrictions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• Alternative forms of the wald test: how long is a piece of string?
• Making wald tests work for cointegrated VAR systems
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications
• Statistical inference in vector autoregressions with possibly integrated processes
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models

Cited in

(19)

• Testing Simultaneous Diagonalizability
• Joint confidence sets for structural impulse responses
• Tests of equal forecast accuracy and encompassing for nested models
• A unifying theory of tests of rank
• Short run and long run causality in time series: inference
• Testing for inequality constraints in singular models by trimming or winsorizing the variance matrix
• Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models
• Extracting informative variables in the validation of two-group causal relationship
• Estimation and inference of dynamic structural factor models with over-identifying restrictions
• scientific article; zbMATH DE number 7387191 (Why is no real title available?)
• Pre-checking for non-monotonicity of the Wald statistic
• Trimmed Granger causality between two groups of time series
• A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes
• Randomized consistent statistical inference for random processes and fields
• Estimation and inference in adaptive learning models with slowly decreasing gains
• The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
• Statistical Tests and Estimators of the Rank of a Matrix and Their Applications in Econometric Modelling
• Granger-causal analysis of GARCH models: a Bayesian approach
• Locally robust inference for non-Gaussian linear simultaneous equations models

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