Inference in possibly integrated vector autoregressive models: some finite sample evidence
Inference in possibly integrated vector autoregressive models: some finite sample evidence
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DOI：
10.1016/s0304-4076(97)00109-7
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发表时间：
1998-09
影响因子：
6.3
通讯作者：
H. Yamada;Hiro Y. Toda
中科院分区：
文献类型：
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作者：
H. Yamada;Hiro Y. Toda
本文讨论可能包含一些单位根的向量自回归 (VAR) 模型中的假设检验。我们考虑的情况是，研究人员的目标不是检测单位根的存在（不存在）或其位置（即协整关系），而是测试一些表示为 VAR 模型系数限制的经济假设。我们研究了适用于此类情况的三种测试程序的有限样本性能。在一般设置中简要回顾这些过程之后，我们将重点关注格兰杰因果关系检验作为典型示例。然后，我们通过广泛的蒙特卡罗模拟来比较它们的采样性能。
This paper deals with hypothesis testing in vector autoregressive (VAR) models that may contain some unit roots. We consider situations in which the researcher’s goal is not detecting the presence (absence) of unit roots or their location (i.e., cointegrating relations), but testing some economic hypotheses expressed as coefficient restrictions of VAR models. We investigate the finite sample performance of three testing procedures that are applicable in such situations. After a brief review of these procedures in a general setup, we focus on Granger causality tests as a typical example. We then compare their sampling performance through extensive Monte Carlo simulations.