A comparison of tests of linear hypothesis in cointegrated vector autoregressive models

DOI10.1016/0165-1765(94)90125-2zbMath0925.62512OpenAlexW2041287634MaRDI QIDQ1331513

Zacharias Psaradakis

Publication date: 8 November 1999

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(94)90125-2

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (3)

A survey of exogeneity in vector error correction models ⋮ Noncausality in VAR-ECM models with purely exogeneous long-run paths ⋮ A note on super exogeneity in linear regression models

Cites Work

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• Cointegration in partial systems and the efficiency of single-equation analysis
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• Small sample properties of tests of linear restrictions on cointegrating vectors and their weights
• Comparisons of tests for multivariate cointegration
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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