Modified lag augmented vector autoregressions

DOI10.1080/07474930008800468zbMath0949.62077OpenAlexW2049132436MaRDI QIDQ4493479

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

zbMATH Keywords

integrationcointegrationvector autoregressionsbias correction

Mathematics Subject Classification ID

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

Related Items (5)

Short run and long run causality in time series: inference ⋮ Finite-sample simulation-based inference in VAR models with application to Granger causality testing ⋮ The uniform validity of impulse response inference in autoregressions ⋮ Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions ⋮ EMPIRICAL LIKELIHOOD TEST FOR CAUSALITY OF BIVARIATE AR(1) PROCESSES

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