Multivariate tests for autocorrelation in the stable and unstable VAR models

By Abdulnasser Hatemi-J. 2004

108 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/8be05f0045907fe805040b5d894b88305473f41f

How researchers see this paper

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In Economics and Econometrics

1. R. Scott Hacker
2. Abdulnasser Hatemi-J
3. Scott Hacker
4. Lokman Gunduz *
5. Alper Aslan
6. C. Tang
7. Salah Abosedra
8. Muhammad Shahbaz

In Finance

1. R. Scott Hacker
2. Abdulnasser Hatemi-J
3. Scott Hacker
4. Sajal Ghosh
5. K. Kanjilal
6. Lokman Gunduz *

Citations in the corpus

• Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application (2006, methodology): “5  The formal derivation of Equation 15 is based on Hatemi-J ( 2004b ).”
• Can the LR test be helpful in choosing the optimal lag order in the VAR model when information criteria suggest different lag orders? (2009, methodology): “A mathematical derivation of Equation 5 is provided by Hatemi-J ( 2004 ).”
• A bootstrap test for causality with endogenous lag length choice: theory and application in finance (2012, methodology): “using the χ(2) distribution for making inference from the Wald test statistic) is 1 Lütkepohl (1991) describes the methodology for performing a Wald test with linear constraints in a VAR model.”