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.
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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; Diffusion Processes
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- 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.
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