Testing normalization and overidentification of cointegrating vectors in vector autoregressive processes

DOI10.1080/07474939908800444MaRDI QIDQ4701042zbMATH OpenOpenAlexFDO

Authors Pentti Saikkonen

Publication date 1999

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474939908800444

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• The Wald-Type Test of a Normalization of Cointegrating Vectors
• Statistical analysis of cointegration vectors
• A Wald test of restrictions on the cointegrating space based on Johansen's estimator
• System estimators of cointegrating matrix in absence of normalising information

Cites work

• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• Identification of the long-run and the short-run structure. An application to the ISLM model
• Identifying restrictions of linear equations with applications to simultaneous equations and cointegration
• Mixed normality and ancillarity in \(I(2)\) systems
• Multiple Time Series Regression with Integrated Processes
• Optimal Inference in Cointegrated Systems
• Specification Tests in Econometrics
• Statistical analysis of cointegration vectors
• Testing cointegration in infinite order vector autoregressive processes

Cited in

(10)

• The performance of panel cointegration methods: results from a large scale simulation study
• Panel cointegration testing in the presence of a time trend
• Structural vector autoregressive analysis for cointegrated variables
• More on testing exact rational expectations in cointegrated vector autoregressive models: Restricted constant and linear term
• The Wald-Type Test of a Normalization of Cointegrating Vectors
• Tests for overidentifying restrictions in factor-augmented VAR models
• Normalising cointegrating relationships subject to long-run exclusion
• Estimation bias and bias correction in reduced rank autoregressions
• Generalized reduced rank tests using the singular value decomposition
• A Parametric approach to the Estimation of Cointegration Vectors in Panel Data

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