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Identifier to cite or link to this item: https://hdl.handle.net/10086/19120

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Title
Statistical Inference in Possibly Integrated/Cointegrated Vector Autoregressions: Application to Testing for Structural Changes
Creator
Creator Name
Kurozumi, Eiji Kurozumi, Eiji
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Dashtseren, Khashbaatar Dashtseren, Khashbaatar
Affiliation
Affiliation Name
Hitotsubashi University
Editor
Contributor Name
社会科学の高度統計・実証分析拠点構築 = Research Unit for Statistical and Empirical Analysis in Social Sciences
Affiliation
Affiliation Name
Hitotsubashi University
Key Word
multiple breaks
stationary
unit root
cointegration
JEL
C12
C13
C32
Abstract
We develop a new approach of statistical inference in possibly integrated/cointegrated vector autoregressions. Our method is built on the two previous approaches: the lag augmented approach by Toda and Yamamoto (1995) and the artificial autoregressions by Yamamoto (1996). We show that our estimator is asymptotically normally distributed irrespective of whether the variables are stationary or nonstationary, and that the Wald test statistic for the parameter restrictions has an asymptotic chi-square distribution. Using this method, we also propose to test for multiple structural changes. We show that our test statistics have the same limiting distributions as in the standard case, irrespective of whether the variables are stationary, purely integrated, or cointegrated.
Description
This research was supported by the Global COE program of the Research Unit for Statistical and Empirical Analysis in Social Sciences, Hitotsubashi University.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2011-04
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Global COE Hi-Stat Discussion Paper Series ; No. 187
Number of Pages
21
Sponsorship
グローバルCOEプログラム = Global COE Program
Appears in Collections
Global COE Hi-Stat Discussion Paper Series
URL
https://hdl.handle.net/10086/19120