Subsampling vector autoregressive tests of linear constraints

DOI10.1016/j.jeconom.2003.12.013zbMath1337.62213MaRDI QIDQ261882

F. Blanchet-Sadri, M. Dambrine

Publication date: 24 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.013

zbMATH Keywords

causality; cointegration; unit roots; subsampling; vector autoregression

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62D05: Sampling theory, sample surveys

62M07: Non-Markovian processes: hypothesis testing