Title of article :
A note on hypothesis testing based on the fully modified vector autoregression
Author/Authors :
Hiroshi Yamada، نويسنده , , Hiro Y. Toda، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1997
Abstract :
This paper investigates the sampling performance of hypothesis testing based on the FM-VAR method developed by Phillips (1995, Econometrica). We consider Granger causality testing as a typical example and conduct simulation experiments for sample sizes usually available to economists
Keywords :
Unit roots , Cointegration , Fully modified vector autoregression , Size distortion , hypothesis testing
Journal title :
Economics Letters
Journal title :
Economics Letters
