Subsampling vector autoregressive tests of linear constraints
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Phillips, Peter C B, 1995.
"Fully Modified Least Squares and Vector Autoregression,"
Econometric Society, vol. 63(5), pages 1023-78, September.
- Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
- 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.
- 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.
- Romano, Joseph P & Wolf, Michael, 2001.
"Subsampling Intervals in Autoregressive Models with Linear Time Trend,"
Econometric Society, vol. 69(5), pages 1283-1314, September.
- Wolf, Michael & Romano, Joseph P., 1999. "Subsampling intervals in autoregressive models with linear time trend," DES - Working Papers. Statistics and Econometrics. WS 6400, Universidad Carlos III de Madrid. Departamento de Estadística.
- Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
- Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001.
"Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator,"
Elsevier, vol. 73(2), pages 241-250, November.
- Delgado, Miguel A. & Wolf, Michael & Rodríguez Poo, Juan M., 2000. "Subsampling inference in cube root asymptotics with an application to manski's maximum score estimator," DES - Working Papers. Statistics and Econometrics. WS 10110, Universidad Carlos III de Madrid. Departamento de Estadística.
- Toda, Hiro Y & Phillips, Peter C B, 1993.
"Vector Autoregressions and Causality,"
Econometric Society, vol. 61(6), pages 1367-93, November.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
- 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.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:124:y:2005:i:1:p:55-89. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.