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A note on hypothesis testing based on the fully modified vector autoregression. (English) Zbl 0901.90055

Summary: This paper investigates the sampling performance of hypothesis testing based on the FM-VAR method developed by Phillips (1995). We consider Granger causality testing as a typical example and conduct simulation experiments for sample sizes usually available to economists.

MSC:

91B82 Statistical methods; economic indices and measures
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References:

[1] Phillips, P. C.B., Fully modified least squares and vector autoregression, Econometrica, 63, 1023-1078 (1995) · Zbl 0878.62104
[2] Phillips, P. C.B.; Hansen, B. E., Statistical inference in instrumental variables regression with I(1) processes, Review of Economic Studies, 57, 99-125 (1990) · Zbl 0703.62098
[3] Toda, H. Y.; Phillips, P. C.B., Vector autoregressions and causality, Econometrica, 61, 1367-1393 (1993) · Zbl 0796.62104
[4] Yamada, H.; Toda, H. Y., Inference in possibly integrated vector autoregressive models: Some finite sample evidence (1997), mimeo
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