Making wald tests work for cointegrated VAR systems
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Publication:4355151
Recommendations
- Testing for the cointegrating rank of a VAR process with a time trend
- A lag augmentation test for the cointegrating rank of a VAR process
- Statistical inference in vector autoregressions with possibly integrated processes
- A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems
Cites work
Cited in
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- 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
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