Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10005346010
Persistent link: https://www.econbiz.de/10005353034
Persistent link: https://www.econbiz.de/10005353038
We propose methods for testing hypotheses of non-causality at various horizons, as defined in Dufour and Renault (1998, Econometrica). We study in detail the case of VAR models and we propose linear methods based on running vector autoregressions at different horizons. While the hypotheses...
Persistent link: https://www.econbiz.de/10005353062
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.
Persistent link: https://www.econbiz.de/10005729533
Persistent link: https://www.econbiz.de/10005729574
Persistent link: https://www.econbiz.de/10005170679
In this paper, we study the asymptotic distribution of a simple two-stage (Hannan-Rissanen-type) linear estimator for stationary invertible vector autoregressive moving average (VARMA) models in the echelon form representation. General conditions for consistency and asymptotic normality are...
Persistent link: https://www.econbiz.de/10008671561