Inference in Cointegrated VAR Systems
研究了可能含有单位根的向量自回归模型中Wald统计量的渐近性质，并将理论结果扩展到非线性约束，以美国期限结构数据为例检验预期假说，发现小样本下检验统计量略有膨胀。
This note examines the asymptotic properties of the Wald statistic in vector autoregressions (VAR) that may have unit roots. Within this framework we extend the theoretical results to nonlinear restrictions. As an example we study constraints derived from linear(ized) rational expectations models focusing on the expectations hypothesis using U.S. term structure data. For such cross-equation restrictions the statistic has a nonstandard distribution because the restrictions constrain the row space of the total impact matrix of the VAR. A Monte Carlo study is performed, and we find that the test statistic is somewhat oversized in small samples. © 1997 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology