Autore
Paruolo, Paolo

Titolo
Design of vector autoregressive processes for invariant statistics
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2005 - Fascicolo: 6 - Pagina iniziale: 1 - Pagina finale: 29

This paper discusses the Monte Carlo (MC) design of Gaussian Vector Autoregressive processes (VAR) for the evalutation of invariant statistics. We focus on the case of cointegrated (CI) I(1) processes, linear and invertible transformations and CI rank likelihood ratio (LR) tests. It is found that all VAR of order 1 can be reduced to a system of independent or recursive subsystems, of computational dimension at most equal to 2. The results are applied to the indexing of the distribution of LR test statistics for CI rank under local alternatives. They are also extended to the case of VAR processes of higher order.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2005_6.pdf

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