Kim, Jae H. - In: Economic Modelling 41 (2014) C, pp. 267-273
This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a … stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the estimated generalised least square … estimator for VAR parameters, which considers contemporaneous correlations among the error terms. It is found that the bootstrap …