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Asymptotic Theory
Maximal Order
Statistical Inference
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vector autoregression
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Statistical inference in vector autoregressions with possibly integrated processes
Statistical inference in vector autoregressions with possibly integrated processes,10.1016/03044076(94)016168,Journal of Econometrics,Hiro Y. Toda,T
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Statistical inference in vector autoregressions with possibly integrated processes
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Citations: 441
)
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Hiro Y. Toda
,
Taku Yamamoto
This paper shows how we can estimate VAR's formulated in levels and test general restrictions on the parameter matrices even if the processes may be integrated or cointegrated of an arbitrary order. We can apply a usual lag selection procedure to a possibly integrated or cointegrated VAR since the standard
asymptotic theory
is valid (as far as the order of integration of the process does not exceed the true lag length of the model). Having determined a lag length k, we then estimate a (k + dmax)thorder VAR where dmax is the
maximal order
of integration that we suspect might occur in the process. The coefficient matrices of the last dmax lagged vectors in the model are ignored (since these are regarded as zeros), and we can test linear or nonlinear restrictions on the first k coefficient matrices using the standard asymptotic theory.
Journal:
Journal of Econometrics  J ECONOMETRICS
, vol. 66, no. 1, pp. 225250, 1995
DOI:
10.1016/03044076(94)016168
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Citation Context
(165)
...We then study the causality relationships between spot and futures prices within each specific subperiod identified, using a procedure developed by Toda and Yamamoto (
1995)
, in order to analyse where changes in spot and futures prices originate and how they spread (i...
Massimo Peri
,
et al.
Price discovery in commodity markets
...For the remaining studies, Chow (
1987
) applies Sim's causality test and finds bidirectional causality, while Kónya (
2004
) uses an augmented VARlevel Granger causality test based on Toda and Yamamoto (
1995
) to reveal a negative link running from GDP to exports...
Wenyu Zang
,
et al.
Exports, imports and economic growth in South Korea and Japan: a tale ...
...As a solution, we follow the Vector AutoRegression (VAR) methodology proposed by Toda and Yamamoto (
1995
)...
Hassan Mohammadi
,
et al.
Fiscal policy and the current account new evidence from four East Asia...
...Tian (
2008
) applies the linear Granger causality test based on Toda and Yamamoto's (
1995
) procedure and finds that there is no Granger causality between Taiwan's and Hong Kong's markets, that there is a unidirectional Granger causality from Shenzhen's market to Shanghai's market, and that these two latter markets had no causal links with Taiwan's and Hong Kong's markets before the Asian crisis...
KuanMin Wang
,
et al.
Did China avoid the ‘Asian flu’? The contagion effect test with dynami...
...An overparameterized levelVAR estimator developed by Toda and Yamamoto (
1995
) bypasses all the pretesting requirements and is applicable to all VAR systems characterized by a stationary (around a deterministic trend) or integrated or cointegrated process of an arbitrary order...
Tarlok Singh
.
Does public capital crowdout or crowdin private capital in India?
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Sort by:
Citations
(441)
Price discovery in commodity markets
Massimo Peri
,
Lucia Baldi
,
Daniela Vandone
Journal:
Applied Economics Letters  APPL ECON LETTERS
, vol. 20, no. 4, pp. 397403, 2013
Exports, imports and economic growth in South Korea and Japan: a tale of two economies
Wenyu Zang
,
Mark Baimbridge
Journal:
Applied Economics  APPL ECON
, vol. 44, no. 3, pp. 361372, 2012
Fiscal policy and the current account new evidence from four East Asian countries
Hassan Mohammadi
,
Golaleh Moshrefi
Journal:
Applied Economics Letters  APPL ECON LETTERS
, vol. 19, no. 2, pp. 167173, 2012
Did China avoid the ‘Asian flu’? The contagion effect test with dynamic correlation coefficients
KuanMin Wang
,
ThanhBinh Nguyen Thi
Journal:
Quantitative Finance  QUANT FINANC
, vol. aheadofp, no. aheadofp, pp. 111, 2012
Electricity consumption and economic growth empirical evidence from Pakistan
Muhammad Shahbaz
,
Mete Feridun
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Quality & Quantity  QUAL QUANT
, pp. 117, 2012