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Local power of likelihood ratio tests for the cointegrating rank of a VAR process

Saikkonen, Pentti; Lütkepohl, Helmut - 1997

Likelihood ratio (LR) tests for the cointegrating rank of a vector autoregressive (VAR) process have been developed under different assumptions regarding deterministic terms. For instance, nonzero mean terms and linear trends have been accounted for in some of the tests. In this paper we provide...

Persistent link: https://www.econbiz.de/10009659070

Testing for common cyclical features in var models with cointegration

Hecq, Alain W. J.; Palm, Franz C.; Urbain, Jean-Pierre - 2001

We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …

Persistent link: https://www.econbiz.de/10011398127

Testing for a set of linear restrictions in VARMA models using autoregressive metric : an application to Granger causality test

Di Iorio, Francesca; Triacca, Umberto - In: Econometrics : open access journal 2 (2014) 4, pp. 203-216

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show...

Persistent link: https://www.econbiz.de/10010479050

Testing for parameter restrictions in a stationary VAR model : a bootstrap alternative

Kim, Jae H. - In: Economic modelling 41 (2014), pp. 267-273

Persistent link: https://www.econbiz.de/10010438337

Testing for Granger causality with mixed frequency data

Ghysels, Eric; Hill, Jonathan B.; Motegi, Kaiji - In: Journal of econometrics 192 (2016) 1, pp. 207-230

Persistent link: https://www.econbiz.de/10011617146

Lag length selection and p-hacking in Granger causality testing : prevalence and performance of meta-regression models

Bruns, Stephan B.; Stern, David I. - In: Empirical economics : a journal of the Institute for … 56 (2019) 3, pp. 797-830

Persistent link: https://www.econbiz.de/10012041668

A test of sufficient condition for infinite-step Granger noncausality in infinite order vector autoregressive process

Triacca, Umberto; Damette, Olivier; Giovannelli, Alessandro - 2020

Persistent link: https://www.econbiz.de/10012489251

Granger causality testing in high-dimensional VARs : a post-double-selection procedure

Hecq, Alain W. J.; Margaritella, Luca; Smeekes, Stephan - In: Journal of financial econometrics 21 (2023) 3, pp. 915-958

Persistent link: https://www.econbiz.de/10014314841

Do exports lead economic output in five Asian countries? : a cointegration and granger causality analysis

Huang, Jiayi; Ramírez, Miguel D. - In: Inventi impact: international trade (2017) 1, pp. 24-44

Persistent link: https://www.econbiz.de/10011689045

Do exports lead economic output in five Asian countries? : a cointegration and Granger Causality analysis

Huang, Jiayin; Ramírez, Miguel D. - In: Business and Economic Research : BER 6 (2016) 2, pp. 30-50

Persistent link: https://www.econbiz.de/10011575379