Making wald tests work for cointegrated VAR systems
针对协整系统中Wald检验渐近分布非标准的问题，提出拟合VAR(p+1)模型并仅检验前p阶滞后系数的简单修正方法，使检验统计量渐近服从卡方分布，并通过理论和数值例子分析了检验的势性质。
Wald tests of restrictions on the coefficients of vector autoregressive (VAR) processes are known to have nonstandard asymptotic properties for 1(1) and cointegrated systems of variables. A simple device is proposed which guarantees that Wald tests have asymptotic X2-distributions under general conditions. If the true generation process is a VAR(p) it is proposed to fit a VAR(p+l) to the data and perform a Wald test on the coefficients of the first p lags only. The power properties of the modified tests are studied both analytically and numerically by means of simple illustrative examples.