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Inference in Possibly Integrated Vector Autoregressive Models: Finite Sample Evidence

Author

Listed:
  • Yamada, H.
  • Toda, H.Y.

Abstract

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 hypothesis expressed as coefficient restrictions of VAR models. Three testing procedures that are applicable in such situations have recently been suggested in the literature. The purpose of this research is to investigate the finite sample performance of these testing procedures, which are called the LA-VAR, FM-VAR, and ECM procedures in this paper.

Suggested Citation

  • Yamada, H. & Toda, H.Y., 1996. "Inference in Possibly Integrated Vector Autoregressive Models: Finite Sample Evidence," ISER Discussion Paper 0417, Institute of Social and Economic Research, Osaka University.
    • Handle: RePEc:dpr:wpaper:0417
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    Cited by:

    1. Grewal, Rajdeep & Mills, Jeffrey A. & Mehta, Raj & Mujumdar, Sudesh, 2001. "Using cointegration analysis for modeling marketing interactions in dynamic environments: methodological issues and an empirical illustration," Journal of Business Research, Elsevier, vol. 51(2), pages 127-144, February.

    More about this item

    Keywords

    COINTEGRATION; UNIT ROOTS;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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