Autore
Omtzigt, PieterTitolo
Bartlett corrections in stationary VARsPeriodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricercaAnno:
2000 - Fascicolo:
8 - Pagina iniziale:
1 - Pagina finale:
52We derive the Bartlett correction for a simple hypothesis on the regression parameters in a multivariate stationary autoregressive process.
Three applications illustrate the use of the correction: the test for absence of
autocorrelation of any order, a simple hypothesis on the autoregressive parameters
and two tests for weak exogeneity in the cointegrated VAR model. In the first of
these tests, the cointegration space is known, in the second it is not.
The Bartlett correction performs well in all simulation studies, except in the one of the last test, that is a test for weak exogeneity in the cointegrated VAR with an
unknown cointegration space.
Testo completo:
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