Testing for Noncausal Vector Autoregressive Representation

Mehdi Hamidi Sahneh ()

MPRA Paper from University Library of Munich, Germany

Abstract: We propose a test for noncausal vector autoregressive representation generated by non-Gaussian shocks. We prove that in these models the Wold innovations are martingale difference if and only if the model is correctly specified. We propose a test based on a generalized spectral density to check for martingale difference property of the Wold innovations. Our approach does not require to identify and estimate the noncausal models. No specific estimation method is required, and the test has the appealing nuisance parameter free property. The test statistic uses all lags in the sample and it has a convenient asymptotic standard normal distribution under the null hypothesis. A Monte Carlo study is conducted to examine the �finite-sample performance of our test.

Keywords: Explosive Bubble; Identification; Noncausal Process; Vector Autoregressive. (search for similar items in EconPapers)
JEL-codes: C32 C5 (search for similar items in EconPapers)
Date: 2013-08-05, Revised 2014-08-16
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/68867/1/MPRA_paper_68867.pdf original version (application/pdf)

Related works:
Working Paper: Testing for Noncausal Vector Autoregressive Representation (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:68867

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().