A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression
AbstractThis paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We consider Granger causality tests as a typical example to which the FM-VAR approach could usefully be applied. Through Monte Carlo experiments, we examine whether the rejection frequencies of the tests under the null hypothesis are close enough to a desired significance level for sample sizes that are typically available to economists.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number 0423.
Length: 16 pages
Date of creation: 1996
Date of revision:
COINTEGRATION; UNIT ROOTS;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Fumiko Matsumoto).
If references are entirely missing, you can add them using this form.