Modified lag augmented vector autoregressions

DOI10.1080/07474930008800468zbMATH Open0949.62077OpenAlexW2049132436MaRDI QIDQ4493479FDOQ4493479

Taku Yamamoto, Eiji Kurozumi

Publication date: 6 August 2000

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

Full work available at URL: https://doi.org/10.1080/07474930008800468

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zbMATH Keywords

cointegrationbias correctionintegrationvector autoregressions

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (8)

• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Short run and long run causality in time series: inference
• Statistical inference in vector autoregressions with possibly integrated processes
• Empirical likelihood test for causality of bivariate AR(1) processes
• The uniform validity of impulse response inference in autoregressions
• Augmented IS-LM model based on particular functions
• ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE
• Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions

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