Inference in possibly integrated vector autoregressive models: Some finite sample evidence

Journal of Econometrics

Volumn 86, Issue 1, 1998, Pages 55-95

  Yamada, Hiroshi ^a   Toda, Hiro Y ^b  

^a OTARU UNIVERSITY OF COMMERCE   (Japan)

^b OSAKA UNIVERSITY   (Japan)

Author keywords

Cointegration; Granger causality; Hypothesis testing; Unit roots; Vector autoregressions

Indexed keywords

EID: 0002535918     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(97)00109-7     Document Type: Article

References (18)

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