排序方式: 共有3条查询结果,搜索用时 78 毫秒
1
1.
2.
Takamitsu Kurita 《Econometric Reviews》2013,32(3):325-360
This article develops limit theory for likelihood analysis of weak exogeneity in I(2) cointegrated vector autoregressive (VAR) models incorporating deterministic terms. Conditions for weak exogeneity in I(2) VAR models are reviewed, and the asymptotic properties of conditional maximum likelihood estimators and a likelihood-based weak exogeneity test are then investigated. It is demonstrated that weak exogeneity in I(2) VAR models allows us to conduct asymptotic conditional inference based on mixed Gaussian distributions. It is then proved that a log-likelihood ratio test statistic for weak exogeneity in I(2) VAR models is asymptotically χ2 distributed. The article also presents an empirical illustration of the proposed test for weak exogeneity using Japan's macroeconomic data. 相似文献
3.
Takamitsu Kurita 《统计学通讯:模拟与计算》2013,42(8):1785-1800
This article investigates the impact of multivariate generalized autoregressive conditional heteroskedastic (GARCH) errors on hypothesis testing for cointegrating vectors. The study reviews a cointegrated vector autoregressive model incorporating multivariate GARCH innovations and a regularity condition required for valid asymptotic inferences. Monte Carlo experiments are then conducted on a test statistic for a hypothesis on the cointegrating vectors. The experiments demonstrate that the regularity condition plays a critical role in rendering the hypothesis testing operational. It is also shown that Bartlett-type correction and wild bootstrap are useful in improving the small-sample size and power performance of the test statistic of interest. 相似文献
1