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Testing for a set of linear restrictions in VARMA models using autoregressive metric: An application to Granger causality test
DiIorio, Francesca; Triacca, Umberto - In: Econometrics 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/10011755267
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Testing for A Set of Linear Restrictions in VARMA Models Using Autoregressive Metric: An Application to Granger Causality Test
Iorio, Francesca Di; Triacca, Umberto - In: Econometrics 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, <em>M<sub>0</sub></em> and <em>M<sub>1</sub></em>, introduced by Piccolo in 1990. In particular, we show...
Persistent link: https://www.econbiz.de/10011105155
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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