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The granger non-causality test in cointegrated vector autoregressions
Chigira, Hiroaki (contributor); Yamamoto, Taku (contributor) - 2003
Persistent link: https://www.econbiz.de/10002530560
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A test of serial independence of deviations from cointegrating relations
Chigira, Hiroaki (contributor) - 2005
Persistent link: https://www.econbiz.de/10003080697
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A test of serial independence of deviations from cointegrating relations
Chigira, Hiroaki - In: Economics letters 92 (2006) 1, pp. 52-57
Persistent link: https://www.econbiz.de/10003336506
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A test of cointegration rank based on principal component analysis
Chigira, Hiroaki - In: Applied economics letters 15 (2008) 7/9, pp. 693-696
Persistent link: https://www.econbiz.de/10003741632
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Normal tests for a unit root in the autoregressive time series model
Yamamoto, Taku - In: Hitotsubashi journal of economics 34 (1993) 2, pp. 147-164
Persistent link: https://www.econbiz.de/10001160342
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A simple approach to the statistical inference in linear time series models which may have some unit roots
Yamamoto, Taku - In: Hitotsubashi journal of economics 37 (1996) 2, pp. 87-100
Persistent link: https://www.econbiz.de/10001213253
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Alternative representation for asymptotic distributions of impulse responses in cointegrated VAR systems
Arai, Yoichi; Yamamoto, Taku - In: Economics letters 67 (2000) 3, pp. 261-271
Persistent link: https://www.econbiz.de/10001473663
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Modified lag augmented vector autoregressions
Kurozumi, Eiji; Yamamoto, Taku - In: Econometric reviews 19 (2000) 2, pp. 207-231
Persistent link: https://www.econbiz.de/10001483709
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Conditions on consistency for testing hypotheses under rational expectation by vector autoregressive models and cointegration
Kunitomo, Naoto - In: The economic studies quarterly : the journal of the … 41 (1990) 1, pp. 15-33
Persistent link: https://www.econbiz.de/10001089318
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Statistical inference in vector autoregressions with possibly integrated processes
Toda, Hiro Y. - In: Journal of econometrics 66 (1995) 1, pp. 225-250
Persistent link: https://www.econbiz.de/10001174117