The spurious effect of unit roots on exogeneity tests in vector autoregressions : an analytical study
by H. Y. Toda and P. C. B. Phillips
| Year of publication: |
1991
|
|---|---|
| Authors: | Toda, Hiro Y. ; Phillips, Peter C. B. |
| Publisher: |
New Haven, Conn. |
| Subject: | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Einheitswurzeltest | Unit root test | Schätztheorie | Estimation theory |
| Extent: | 29 S. |
|---|---|
| Series: | Cowles Foundation discussion paper. - New Haven, Conn. : [Verlag nicht ermittelbar], ZDB-ID 252036-9. - Vol. 978 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10000828077