Likelihood-based inference for weak exogeneity in I(2) cointegrated VAR models

DOI10.1080/07474938.2011.607346MaRDI QIDQ5080150zbMATH OpenOpenAlexFDO

Authors Takamitsu Kurita

Publication date 31 May 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2011.607346

zbMATH Keywords

maximum likelihoodI(2)cointegrated vector autoregressive modelweak exogeneity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20)

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Cites work

• scientific article; zbMATH DE number 6193731 (Why is no real title available?)
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A Stastistical Analysis of Cointegration for I(2) Variables
• ASYMPTOTIC EFFICIENCY OF THE TWO STAGE ESTIMATOR IN I (2) SYSTEMS
• An I(2) cointegration analysis of small‐country import price determination
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Cointegration in partial systems and the efficiency of single-equation analysis
• Econometric inflation targeting
• Efficient inference on cointegration parameters in structural error correction models
• Exogeneity
• Likelihood Analysis of the I(2) Model
• Miscellanea. Bartlett correction of the unit root test in autoregressive models
• Mixed normality and ancillarity in \(I(2)\) systems
• Numerically stable cointegration analysis
• On the determination of integration indices in I(2) systems
• On the interactions of unit roots and exogeneity
• Statistical analysis of cointegration vectors
• Statistical analysis of hypotheses on the cointegrating relations in the I(2) model
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• Testing the nominal-to-real transformation
• The likelihood ratio test for cointegration ranks in the I(2) model
• Trend stationarity in the \(I(2)\) cointegration model.
• Weak exogeneity in \(I(2)\) VAR systems

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• Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data

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