Finite-sample simulation-based inference in VAR models with application to Granger causality testing

Journal of Econometrics

Volumn 135, Issue 1-2, 2006, Pages 229-254

  Dufour, Jean Marie ^a,b   Jouini, Tarek ^b  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

^b Canada H3A 2T7   (Canada)

Author keywords

Bootstrap; Exact test; Interest rate; Macroeconomics; Maximized Monte Carlo test; Money and income; Monte Carlo test; Non stationary model; VAR

Indexed keywords

APPROXIMATION THEORY; ASYMPTOTIC STABILITY; COMPUTER SIMULATION; MONTE CARLO METHODS; PARAMETER ESTIMATION; SAMPLING; VECTORS;

BOOTSTRAP; INTEREST RATE; MACROECONOMICS; MAXIMIZED MONTE CARLO TESTS; MONEY AND INCOME; NON STATIONARY MODEL; VECTOR AUTOREGRESSIVE (VAR) MODELS;

REGRESSION ANALYSIS;

EID: 33747874520     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.025     Document Type: Article

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