Kurozumi, Eiji; Dashtseren, Khashbaatar - Institute of Economic Research, Hitotsubashi University - 2011
We develop a new approach of statistical inference in possibly integrated/cointegrated vector autoregressions. Our method is built on the two previous approaches: the lag augmented approach by Toda and Yamamoto (1995) and the artificial autoregressions by Yamamoto (1996). We show that our...