Inference in possibly integrated vector autoregressive models: some finite sample evidence
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Econometrics.
Volume (Year): 86 (1998)
Issue (Month): 1 (June)
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Web page: http://www.elsevier.com/locate/jeconom
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- Toda, Hiro Y. & Yamamoto, Taku, 1995. "Statistical inference in vector autoregressions with possibly integrated processes," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 225-250.
- Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
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76a, Helsinki - Department of Economics.
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- Tom Doan, . "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
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- Yamada, H. & Toda, H.Y., 1996. "A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression," ISER Discussion Paper 0423, Institute of Social and Economic Research, Osaka University.
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"Vector Autoregressions and Causality,"
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- repec:fth:osakae:423 is not listed on IDEAS
- Toda, Hiro Y, 1994. "Finite Sample Properties of Likelihood Ratio Tests for Cointegrating Ranks when Linear Trends are Present," The Review of Economics and Statistics, MIT Press, vol. 76(1), pages 66-79, February.
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