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Making Wald Tests Work for Cointegrated Var Systems

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  • Dolado, J.J.
  • Lutkepohl, H.

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  • Dolado, J.J. & Lutkepohl, H., 1994. "Making Wald Tests Work for Cointegrated Var Systems," Papers 9424, Centro de Estudios Monetarios Y Financieros-.
    • Handle: RePEc:fth:cemfdt:9424
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    Cited by:

    1. Masih, Abul M. M. & Masih, Rumi, 1999. "Are Asian stock market fluctuations due mainly to intra-regional contagion effects? Evidence based on Asian emerging stock markets," Pacific-Basin Finance Journal, Elsevier, vol. 7(3-4), pages 251-282, August.
    2. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Kanwar, Sunil, 2000. "Does the Dog Wag the Tail or the Tail the Dog? Cointegration of Indian Agriculture with Nonagriculture," Journal of Policy Modeling, Elsevier, vol. 22(5), pages 533-556, September.
    4. Pierre Siklos & Ben Kwok, 1999. "Stock returns and inflation: a new test of competing hypotheses," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 567-581.
    5. Phil Bodman, "undated". "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia.
    6. Ben Shepherd, 2005. "Market Power in International Commodity Processing Chains: Preliminary Results from the Coffee Market," International Trade 0511013, University Library of Munich, Germany.
    7. Judith A. Clarke & Sadaf Mirza, 2003. "Some Finite Sample Results On Testing For Granger Noncausality," Econometrics Working Papers 0305, Department of Economics, University of Victoria.
    8. G. Geoffrey Booth & Cetin Ciner, 2005. "German dominance in the European Monetary System: a reprise using robust Wald tests," Applied Economics Letters, Taylor & Francis Journals, vol. 12(8), pages 463-466.
    9. Hyeon-Seung Huh, 2005. "A simple test of exogeneity for recursively structured VAR models," Applied Economics, Taylor & Francis Journals, vol. 37(20), pages 2307-2313.
    10. Ghazi Shukur & Panagiotis Mantalos, 2000. "A simple investigation of the Granger-causality test in integrated-cointegrated VAR systems," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(8), pages 1021-1031.
    11. Märten Kress, 2004. "Lending cycles in Estonia," Bank of Estonia Working Papers 2004-3, Bank of Estonia, revised 10 Oct 2004.
    12. Ana I. Sanjuan & Jose M. Gil, 1998. "Price transmission analysis: A flexible methodological approach applied to European hog markets," ERSA conference papers ersa98p180, European Regional Science Association.
    13. Frimpong, Joseph Magnus & Oteng-Abayie, Eric Fosu, 2006. "Bivariate causality analysis between FDI inflows and economic growth in Ghana," MPRA Paper 351, University Library of Munich, Germany, revised 09 Oct 2006.

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    Keywords

    ECONOMETRICS; ECONOMIC MODELS;

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