Toda, Hiro Y.; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 1991
This paper analyzes whether inclusion of a statistically independent random walk in a vector autoregression can result … generated random walk variable was rejected too often. In the present paper we attempt a full analytical study of this problem … of including the random walk. Interestingly, it can also be shown that if the genuine variables of the model are …