Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models

DOI10.1080/07474938.2011.607346zbMath1491.62236OpenAlexW2025823954MaRDI QIDQ5080150

Takamitsu Kurita

Publication date: 31 May 2022

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

Full work available at URL: https://doi.org/10.1080/07474938.2011.607346

zbMATH Keywords

maximum likelihoodI(2)cointegrated vector autoregressive modelweak exogeneity

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (1)

Likelihood-based tests for parameter constancy in \(I(2)\) CVAR models with an application to fixed-term deposit data

Uses Software

• Ox

Cites Work

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• Exogeneity
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• On the interactions of unit roots and exogeneity
• Unnamed Item

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