Vector Autoregressions and Causality
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Publication:4286289
DOI10.2307/2951647zbMath0796.62104OpenAlexW2076578229MaRDI QIDQ4286289
Hiro Y. Toda, Peter C. B. Phillips
Publication date: 16 October 1994
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2951647
error correction modelsrank conditionWald test statisticsufficiency conditionasymptotic propertiechi-square criteriacointegrating matrixGranger-type causality testsnonstandard limiting distributionunrestricted and nonstationary vector autoregression models
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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