Exact tests in single equation autoregressive distributed lag models
DOI10.1016/S0304-4076(97)00048-1zbMATH Open0904.62135OpenAlexW1965405678WikidataQ126297389 ScholiaQ126297389MaRDI QIDQ1371376FDOQ1371376
Authors: Jan F. Kiviet, Jean-Marie Dufour 
Publication date: 28 October 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00048-1
Recommendations
Monte Carlo teststructural changeunit rootdynamic regressionexact inferenceARX modelorder of dynamics
Parametric hypothesis testing (62F03) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)
Cites Work
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- Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nonstationary AR(1) errors
- Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
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- Over-rejections in rational expectations models. A non-parametric approach to the Mankiw-Shapiro problem
Cited In (17)
- Exact and asymptotic identification-robust inference for dynamic structural equations with an application to New Keynesian Phillips Curves
- Exact tests of the stability of the Phillips curve: the Canadian case
- Lag length and mean break in stationary VAR models
- Optimal weighted average power similar tests for the covariance structure in the linear regression model
- Markovian processes, two-sided autoregressions and finite-sample inference for stationary and nonstationary autoregressive processes
- Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions.
- Simulation based finite and large sample tests in multivariate regressions
- WEIGHTED AVERAGE POWER SIMILAR TESTS FOR STRUCTURAL CHANGE IN THE GAUSSIAN LINEAR REGRESSION MODEL
- Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
- Estimation-adjusted VaR
- BARTLETT CORRECTION IN THE STABLE AR(1) MODEL WITH INTERCEPT AND TREND
- Exact confidence sets and goodness-of-fit methods for stable distributions
- Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
- Simulation-based finite-sample tests for heteroskedasticity and ARCH effects
- Regression discontinuity designs, white noise models, and minimax
- Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
- A simple test for the consistency of dynamic linear regression in rational distributed lag models
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