Making wald tests work for cointegrated VAR systems

DOI10.1080/07474939608800362zbMATH Open0893.62085OpenAlexW2165649196WikidataQ56568310 ScholiaQ56568310MaRDI QIDQ4355151FDOQ4355151

Juan J. Dolado, Helmut Lütkepohl

Publication date: 6 November 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800362

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

zbMATH Keywords

Wald testsvector autoregressive processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• More accurate confidence intervals in exponential families

Cited In (39)

• Foreign direct investment, exports and domestic performance in Mexico: a causality analysis.
• Subsampling vector autoregressive tests of linear constraints
• A new robust inference for predictive quantile regression
• Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study
• Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes
• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
• Asymptotically Valid Bootstrap Inference for Proxy SVARs
• Modified lag augmented vector autoregressions
• Comparison of local projection estimators for proxy vector autoregressions
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• Testing the relationships between shadow economy and unemployment: empirical evidence from linear and nonlinear tests
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Short run and long run causality in time series: inference
• Testing for short- and long-run causality: a frequency-domain approach
• Statistical inference in vector autoregressions with possibly integrated processes
• Wald Tests and Systems of Stochastic Equations
• A lag augmentation test for the cointegrating rank of a VAR process
• A revisitation of the export-led growth hypothesis in Malaysia using the leveraged bootstrap simulation and rolling causality techniques
• The relationship between budgetary expenditure and economic growth in Poland
• Invariance and the Wald test
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Modified Wald tests under nonregular conditions
• Ridge regression revisited: debiasing, thresholding and bootstrap
• Higher order approximations for Wald statistics in time series regressions with integrated processes.
• ROBUST OPTIMAL TESTS FOR CAUSALITY IN MULTIVARIATE TIME SERIES
• Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
• Enhancing the local power of IVX-based tests in predictive regressions
• Instrumental variable and variable addition based inference in predictive regressions
• The uniform validity of impulse response inference in autoregressions
• A comparison of some common methods for detecting Granger noncausality
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Robust inference for spurious regressions and cointegrations involving processes moderately deviated from a unit root
• Persistence-robust surplus-lag Granger causality testing
• On the relationship between oil and gold before and after financial crisis: linear, nonlinear and time-varying causality testing
• CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
• Multivariate-based causality tests of twin deficits in the US
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions
• Delta-method inference for a class of set-identified SVARs
• A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems

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