F test for unit roots in a VAR model
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概要
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We consider a VAR(p), n equation model as a SUR system. We express unit roots hypothesis as a linear restriction on parameters in this system and derive the asymptotic distributions of the F test for testing the linear restriction based on OLS estimator and on SUR estimator. Using Monte Carlo experiment, we compare the powers of these F tests for VAR(2), 2 equation system. We show that these tests have nonstandard asymptotic distributions and the F test based on SUR estimator is more powerful than those based on OLS estimator.
- 香川大学の論文
- 2001-12-01
著者
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