Vector autoregression and causality: a theoretical overview and simulation study

DOI10.1080/07474939408800286zbMath0829.62087OpenAlexW2094155635WikidataQ104142416 ScholiaQ104142416MaRDI QIDQ4853082

Hiro Y. Toda, Peter C. B. Phillips

Publication date: 24 January 1996

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

Full work available at URL: https://cowles.yale.edu/sites/default/files/files/pub/d10/d1001.pdf

zbMATH Keywords

simulationcointegrationGranger causalityvector autoregressionsWald testsexperimental designoverviewsampling propertiesGaussian maximum likelihood estimationGranger causality testsJohansen-type error correction modelssequential causality testsstochastic and deterministic trends

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10)

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Cites Work

• Statistical analysis of cointegration vectors
• Five alternative methods of estimating long-run equilibrium relationships
• Inference in Linear Time Series Models with some Unit Roots
• Optimal Inference in Cointegrated Systems
• Vector Autoregressions and Causality
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models