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Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models

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  • Kohn, R

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Bibliographic Info

Article provided by Econometric Society in its journal Econometrica.

Volume (Year): 47 (1979)
Issue (Month): 4 (July)
Pages: 1005-30

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Handle: RePEc:ecm:emetrp:v:47:y:1979:i:4:p:1005-30

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Cited by:
  1. Boubacar Mainassara, Y. & Francq, C., 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 496-505, March.
  2. Lawrence J. Christiano, 1987. "Estimating continuous time rational expectations models in frequency domain: a case study," Working Papers 301, Federal Reserve Bank of Minneapolis.
  3. Abel, Andrew B. & Mishkin, Frederic S., 1983. "An integrated view of tests of rationality, market efficiency and the short-run neutrality of monetary policy," Journal of Monetary Economics, Elsevier, vol. 11(1), pages 3-24.
  4. Christiano, Lawrence J. & Eichenbaum, Martin, 1990. "Unit roots in real GNP: Do we know, and do we care?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 32(1), pages 7-61, January.
  5. Gonzalo Camba-Méndez & George Kapetanios, 2001. "Testing the rank of the Hankel matrix - a statistical approach," Working Paper Series 45, European Central Bank.
  6. B. Pötscher, 1985. "The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model," Metrika, Springer, vol. 32(1), pages 129-150, December.
  7. Lars Peter Hansen & Thomas J. Sargent, 1981. "Exact linear rational expectations models: specification and estimation," Staff Report 71, Federal Reserve Bank of Minneapolis.
  8. Wang, Zijun & Bessler, David A., 2004. "Forecasting performance of multivariate time series models with full and reduced rank: an empirical examination," International Journal of Forecasting, Elsevier, vol. 20(4), pages 683-695.

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