Making wald tests work for cointegrated VAR systems

DOI10.1080/07474939608800362zbMath0893.62085OpenAlexW2165649196WikidataQ56568310 ScholiaQ56568310MaRDI QIDQ4355151

Juan J. Dolado, Helmut Lütkepohl

Publication date: 6 November 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800362

zbMATH Keywords

Wald testsvector autoregressive processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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Cites Work

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• More accurate confidence intervals in exponential families

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