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Query: faculty: "FEB" and publication year: "2003"

AuthorP.H. Omtzigt
TitleBartlett correction in stationary VARs
PublisherDepartment of Quantitative Economics
PlaceAmsterdam
Year2003
Pages53
Title seriesUvA Econometrics Discussion Paper
Series number2003/05
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe derive the Bartlett correction for a simple hypothesis on the regression parameters
in a multivariate stationary autoregressive process. Three applications illustrate the use of the correction: the test for absence of autocorrelation of any order, a simple hypothesis on the autoregressive parameters and two tests for weak exogeneity in the cointegrated VAR model. In the first of these tests, the cointegration space is known, in the second it is not. The Bartlett correction performs well in all simulation studies, except in the one of the last test, that is a test for weak exogeneity in the cointegrated VAR with an unknown cointegration space.
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