Kurozumi, Eiji; Yamamoto, Taku - In: Econometric Reviews 19 (2000) 2, pp. 207-231
This paper proposes an inference procedure for a possibly integrated vector autoregression (VAR) model. We modify the lag augmented VAR (LA-VAR) estimator to exclude the quasiasymptotic bias, which is associated with the term Op(T-1), using the jackknife method. The new estimator has an...