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Citations for "Modified Wald tests under nonregular conditions"

by Lutkepohl, Helmut & Burda, Maike M.

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  1. Melisso Boschi, 2007. "Foreign capital in Latin America: A long-run structural Global VAR perspective," Economics Discussion Papers 647, University of Essex, Department of Economics.
  2. Droumaguet, Matthieu & Warne, Anders & Woźniak, Tomasz, 2015. "Granger causality and regime inference in Bayesian Markov-Switching VARs," Working Paper Series 1794, European Central Bank.
  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. 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.
  5. Kasahara Hiroyuki & Shimotsu Katsumi, 2012. "Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures," Global COE Hi-Stat Discussion Paper Series gd12-247, Institute of Economic Research, Hitotsubashi University.
  6. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  7. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
  8. 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.
  9. Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
  10. Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
  11. 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.
  12. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  13. 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.
  14. Heaton, Chris, 2015. "Testing for multiple-period predictability between serially dependent time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 587-597.
  15. 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.
  16. Majid M. Al-Sadoon, 2015. "Testing Subspace Granger Causality," Working Papers 850, Barcelona Graduate School of Economics.
  17. 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.
  18. Corradi, Valentina & Swanson, Norman R., 2006. "The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test," Journal of Econometrics, Elsevier, vol. 132(1), pages 195-229, May.
  19. repec:mlb:wpaper:1194 is not listed on IDEAS
  20. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  21. 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.
  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. 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.
  24. 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.
  25. 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.
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