The spurious effect of unit roots on vector autoregressions. An analytical study

DOI10.1016/0304-4076(93)90024-YzbMath0811.62085OpenAlexW1539337071MaRDI QIDQ1314477

Hiro Y. Toda, Peter C. B. Phillips

Publication date: 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90024-y

zbMATH Keywords

vector autoregressionspurious inferenceexogeneity testsasymptotic distribution of the Wald statisticnonstandard distributionssimulated critical valuesstationary VAR estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (8)

INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY ⋮ Statistical inference in vector autoregressions with possibly integrated processes ⋮ Anthropogenic global warming hypothesis: testing its robustness by Granger causality analysis ⋮ A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems ⋮ Finite Sample Modifications of the Granger Non Causality Test in Cointegrated Vector Autoregressions ⋮ On spurious Granger causality ⋮ A comparison between tests for changes in the adjustment coefficients in cointegrated systems ⋮ Tests for Long-Run Granger Non-Causality in Cointegrated Systems

Cites Work

• Asymptotic properties of multivariate nonstationary processes with applications to autoregressions
• Understanding spurious regressions in econometrics
• Limiting distributions of least squares estimates of unstable autoregressive processes
• Asymptotics for linear processes
• Spurious regressions in econometrics
• Inference in Linear Time Series Models with some Unit Roots
• Vector Autoregressions and Causality
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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