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)

Full work available at URL https://doi.org/10.1016/S0304-4076(96)00015-2

zbMATH Keywords

causalitymultiple time seriesnonlinear restrictionsvector autoregressive processesWald test

Mathematics Subject Classification ID

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

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Cites work

• Alternative forms of the wald test: how long is a piece of string?
• scientific article; zbMATH DE number 51202 (Why is no real title available?)
• 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

(20)

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

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