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Citations for "Modified Wald tests under nonregular conditions"

by Lutkepohl, Helmut & Burda, Maike M.

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  1. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
  2. Majid M. Al-Sadoon, 2016. "Testing Subspace Granger Causality," Working Papers 850, Barcelona Graduate School of Economics.
  3. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. Tomasz Wozniak, 2015. "Granger-causal analysis of GARCH models: a Bayesian approach "Abstract: A multivariate GARCH model is used to investigate Granger causality in the conditional variance of time series. Parametric ," Department of Economics - Working Papers Series 1194, The University of Melbourne.
  5. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  6. Jonathan B. Hill, 2005. "Causation Delays and Causal Neutralization up to Three Steps Ahead: The Money-Output Relationship Revisited," Econometrics 0503016, EconWPA, revised 23 Mar 2005.
  7. Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
  8. Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
  9. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  10. Hiroyuki Kasahara & Katsumi Shimotsu, 2014. "Non-parametric identification and estimation of the number of components in multivariate mixtures," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(1), pages 97-111, 01.
  11. Zaka Ratsimalahelo, 2003. "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series EERI_RP_2003_04, Economics and Econometrics Research Institute (EERI), Brussels.
  12. Duplinskiy A., 2014. "Is regularization necessary? A Wald-type test under non-regular conditions," Research Memorandum 025, Maastricht University, Graduate School of Business and Economics (GSBE).
  13. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  14. Jonathan B. Hill, 2007. "Efficient tests of long-run causation in trivariate VAR processes with a rolling window study of the money-income relationship," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(4), pages 747-765.
  15. repec:esx:essedp:647 is not listed on IDEAS
  16. Dufour, Jean-Marie & Valéry, Pascale, 2009. "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 193-206, June.
  17. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  18. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  19. Éric Jondeau, 2001. "La théorie des anticipations de la structure par terme permet-elle de rendre compte de l'évolution des taux d'intérêt sur euro-devise ?," Annals of Economics and Statistics, GENES, issue 62, pages 139-174.
  20. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
  21. Breitung, Jörg & Swanson, Norman Rasmus, 1998. "Temporal aggregation and causality in multiple time series models," SFB 373 Discussion Papers 1998,27, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  22. Huayu Sun & Yue Ma, 2004. "Money and price relationship in China," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 2(3), pages 225-247.
  23. Matthieu Droumaguet & Anders Warne & Tomasz Wozniak, 2015. "Granger Causality and Regime Inference in Bayesian Markov-Switching VARs," Department of Economics - Working Papers Series 1191, The University of Melbourne.
  24. Heaton, Chris, 2015. "Testing for multiple-period predictability between serially dependent time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 587-597.
  25. Majid M. Al-Sadoon, 2014. "A general theory of rank testing," Economics Working Papers 1411, Department of Economics and Business, Universitat Pompeu Fabra, revised Feb 2015.
  26. Ying-Chao Hung & Neng-Fang Tseng, 2013. "Extracting informative variables in the validation of two-group causal relationship," Computational Statistics, Springer, vol. 28(3), pages 1151-1167, June.
  27. Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 590-616.
  28. Lütkepohl, Helmut, 1999. "Vector autoregressive analysis," SFB 373 Discussion Papers 1999,31, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  29. Ramdan Dridi, 2000. "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics 6861, London School of Economics and Political Science, LSE Library.
  30. Melisso Boschi, 2012. "Long- and short-run determinants of capital flows to Latin America: a long-run structural GVAR model," Empirical Economics, Springer, vol. 43(3), pages 1041-1071, December.
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