This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for VAR parameters, which takes account of...

The small sample properties of two types of Chow tests are investigated in the context of multiple time series models. It is found that the tests may have substantially distorted size if the sample size is not large relative to the number of parameters in the model under study. In particular the...