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Modified Wald tests under nonregular conditions

  • Lutkepohl, Helmut
  • Burda, Maike M.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3SWY1BT-B/2/5ca9a770032f59b2763716263a3b5f9d
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 78 (1997)
Issue (Month): 2 (June)
Pages: 315-332

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Handle: RePEc:eee:econom:v:78:y:1997:i:2:p:315-332
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Bruneau, C. & Nicolai, J.P., 1992. "Probabilistic Foundations of a Causal Analysis in Stationary Vectorial Autoregressive Model," Papers 1992-04, Caisse des Depots et Consignations - Cahiers de recherche.
  2. 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.
  3. Donald W.K. Andrews, 1985. "Asymptotic Results for Generalized Wald Tests," Cowles Foundation Discussion Papers 761R, Cowles Foundation for Research in Economics, Yale University, revised Apr 1986.
  4. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September.
  5. repec:fth:inseep:9206 is not listed on IDEAS
  6. Gregory, Allan W & Veall, Michael R, 1985. "Formulating Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 53(6), pages 1465-68, November.
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