Modified Wald tests under nonregular conditions

DOI10.1016/S0304-4076(96)00015-2zbMath0899.62026MaRDI QIDQ1362502

Maike M. Burda, Helmut Lütkepohl

Publication date: 12 August 1997

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

zbMATH Keywords

causalityWald testmultiple time seriesvector autoregressive processesnonlinear restrictions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cites Work

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• Statistical inference in vector autoregressions with possibly integrated processes
• Alternative forms of the wald test: how long is a piece of string?
• Testing Causality Between Two Vectors in Multivariate Autoregressive Moving Average Models
• Making wald tests work for cointegrated VAR systems
• Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications