The spurious effect of unit roots on vector autoregressions. An analytical study

DOI10.1016/0304-4076(93)90024-YMaRDI QIDQ1314477zbMATH OpenOpenAlexFDO

Authors Hiro Y. Toda, Peter C. B. Phillips

Publication date 1993

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

Full work available at URL https://doi.org/10.1016/0304-4076(93)90024-y

zbMATH Keywords

asymptotic distribution of the Wald statisticexogeneity testsnonstandard distributionssimulated critical valuesspurious inferencestationary VAR estimationvector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

This paper considers specifically the spurious inference problem for ``exogeneity tests. The inclusion of a statistically independent random walk (RW) in a vector autoregression (VAR) was raised originally by \textit{L. E. Ohanian} [ibid. 39, 251-266 (1988)]. This paper provides a full analytical study of the above problem using the methodology developed by \textit{J. Y. Park} and the second author [Econ. Theory 4, 468-497 (1988); ibid. 5, 95-131 (1989)], and it gives the derivation of the asymptotic distribution of the Wald statistic. Two cases are considered in this study: the case in which the genuine variables are \(I(1)\), i.e., integrated of order one, and the case in which they are \(I(0)\), i.e., stationary. The results show some differences in each of the two cases. The Wald statistic always converges to a nonstandard distribution if the variables are \(I(1)\), and do not have a deterministic trend. The inclusion of an independent RW variable in a stationary VAR estimation does not cause any bias in the test, at least asymptotically. The paper is accompanied by some simulated critical values for the nonstandard distributions.

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Cites work

• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Asymptotics for linear processes
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Spurious regressions in econometrics
• Understanding spurious regressions in econometrics
• Vector Autoregressions and Causality

Cited in

(9)

• Statistical inference in vector autoregressions with possibly integrated processes
• Tests for Long-Run Granger Non-Causality in Cointegrated Systems
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
• A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• A comparison between tests for changes in the adjustment coefficients in cointegrated systems
• On spurious Granger causality
• Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis
• Causal relationships between cryptocurrencies: the effects of sampling interval and sample size

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