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A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression

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  • Yamada, H.
  • Toda, H.Y.
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    Abstract

    This 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 Info

    Paper provided by Institute of Social and Economic Research, Osaka University in its series ISER Discussion Paper with number 0423.

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    Length: 16 pages
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:dpr:wpaper:0423

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    Related research

    Keywords: COINTEGRATION; UNIT ROOTS;

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    Cited by:
    1. 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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