Fully Modified Vector Autoregressive Inference in Partially Nonstationary Models

DOI10.2307/2670128zbMath0953.62099OpenAlexW4256315738MaRDI QIDQ4216974

Carmela E. Qintos

Publication date: 1 February 2001

Full work available at URL: https://doi.org/10.2307/2670128

zbMATH Keywords

cointegrationvector autoregressionfully modified regressioncausality testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (4)

A comparison of some common methods for detecting Granger noncausality ⋮ A unifying theory of tests of rank ⋮ A simple cointegrating rank test without vector autoregression ⋮ Nonparametric tests for unit roots and cointegration.

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