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Citations for "Modified Wald tests under nonregular conditions"

by Lutkepohl, Helmut & Burda, Maike M.

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  1. Matthieu Droumaguet & Tomasz Wozniak, 2012. "Bayesian Testing of Granger Causality in Markov-Switching VARs," Economics Working Papers ECO2012/06, European University Institute.
  2. Majid M. Al-Sadoon, 2015. "A General Theory of Rank Testing," Working Papers 750, Barcelona Graduate School of Economics.
  3. Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006. "Short run and long run causality in time series: inference," Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
  4. 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.
  5. Hiroyuki Kasahara & Katsumi Shimotsu, 2012. "Nonparametric Identification and Estimation of the Number of Components in Multivariate Mixtures," CIRJE F-Series CIRJE-F-866, CIRJE, Faculty of Economics, University of Tokyo.
  6. 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.
  7. 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.
  8. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  9. Majid M. Al-Sadoon, 2015. "Testing subspace Granger causality," Economics Working Papers 1495, Department of Economics and Business, Universitat Pompeu Fabra.
  10. 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.
  11. Ramdan Dridi, 2000. "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics 6861, London School of Economics and Political Science, LSE Library.
  12. 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.
  13. Jonathan B. Hill, 2004. "Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship," Macroeconomics 0407013, EconWPA, revised 17 May 2005.
  14. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  15. Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
  16. Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
  17. 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.
  18. 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).
  19. 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.
  20. 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.
  21. Heaton, Chris, 2015. "Testing for multiple-period predictability between serially dependent time series," International Journal of Forecasting, Elsevier, vol. 31(3), pages 587-597.
  22. 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.
  23. 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.
  24. repec:esx:essedp:647 is not listed on IDEAS
  25. repec:adr:anecst:y:2001:i:62:p:07 is not listed on IDEAS
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.