A note on hypothesis testing based on the fully modified vector autoregression

DOI10.1016/S0165-1765(97)00157-2zbMath0901.90055OpenAlexW2067275420MaRDI QIDQ811715

Hiroshi Yamada, Hiro Y. Toda

Publication date: 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00157-2

zbMATH Keywords

hypothesis testingcointegrationunit rootssize distortionfully modified vector autoregression

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Vector Autoregressions and Causality
• Fully Modified Least Squares and Vector Autoregression

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