Authors
Juan J Dolado, Helmut Lütkepohl
Publication date
1996/1/1
Journal
Econometric reviews
Volume
15
Issue
4
Pages
369-386
Publisher
Marcel Dekker, Inc.
Description
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to have nonstandard asymptotic properties for 1(1) and cointegrated systems of variables. A simple device is proposed which guarantees that Wald tests have asymptotic X2-distributions under general conditions. If the true generation process is a VAR(p) it is proposed to fit a VAR(p+l) to the data and perform a Wald test on the coefficients of the first p lags only. The power properties of the modified tests are studied both analytically and numerically by means of simple illustrative examples.
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Scholar articles
JJ Dolado, H Lütkepohl - Econometric reviews, 1996