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
Pages
13
From page
27
To page
39
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
Serial Year
1997
Journal title
Economics Letters
Record number
434363
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