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A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression

Author

Listed:
  • Yamada, H.
  • Toda, H.Y.

Abstract

This paper investigates the sampling performance of hypothesis tests based on the fully modified vector autoregression (FM-VAR) that has recently been developed by Phillips (1995). The FM-VAR procedure is applicable without any prior knowledge about the number and location of unit roots. We consider Granger causality tests as a typical example to which the FM-VAR approach could usefully be applied. Through Monte Carlo experiments, we examine whether the rejection frequencies of the tests under the null hypothesis are close enough to a desired significance level for sample sizes that are typically available to economists.

Suggested Citation

  • Yamada, H. & Toda, H.Y., 1996. "A Note on Hypothesis Testing Based on the Fully Modified Vector Autoregression," ISER Discussion Paper 0423, Institute of Social and Economic Research, Osaka University.
    • Handle: RePEc:dpr:wpaper:0423
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    Cited by:

    1. Yamada, Hiroshi & Toda, Hiro Y., 1998. "Inference in possibly integrated vector autoregressive models: some finite sample evidence," Journal of Econometrics, Elsevier, vol. 86(1), pages 55-95, June.

    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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