ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE

DOI10.1017/S0266466604202043zbMATH Open1072.62072MaRDI QIDQ5697609FDOQ5697609

Authors: Heikki Kauppi 

Publication date: 18 October 2005

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

Recommendations

• A note on hypothesis testing based on the fully modified vector autoregression
• Fully Modified Least Squares and Vector Autoregression
• Modified lag augmented vector autoregressions
• Fully Modified Vector Autoregressive Inference in Partially Nonstationary Models
• Structural stability tests in the linear regression model when the regressors have roots local to unity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (3)

• Fully Modified Least Squares and Vector Autoregression
• A note on hypothesis testing based on the fully modified vector autoregression
• Panel vector autoregression under cross-sectional dependence

This page was built for publication: ON THE ROBUSTNESS OF HYPOTHESIS TESTING BASED ON FULLY MODIFIED VECTOR AUTOREGRESSION WHEN SOME ROOTS ARE ALMOST ONE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5697609)