Revealing unnoticed properties of super exogeneity in a cointegrated vector autoregression

DOI10.1080/03610926.2021.1894448OpenAlexW3138198061MaRDI QIDQ5046817

Takamitsu Kurita

Publication date: 9 November 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2021.1894448

zbMATH Keywords

small sample inferencepartial cointegrated vector autoregressive modelssuper exogeneity\(S\)-ancillary statistics

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• Ox

Cites Work

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• Exogeneity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Two Mixed Normal Densities from Cointegration Analysis
• Identification Using Stability Restrictions
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Properties of sufficiency and statistical tests

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