Testing omitted variables in VARs

Andrea Beccarini ()
Additional contact information
Andrea Beccarini: University of Muenster

Statistical Papers, 2024, vol. 65, issue 5, No 17, 3093-3109

Abstract: Abstract A procedure is outlined aiming at testing the bias due to omitted variables in vector autoregressions. The procedure consists first of filtering a vector of omitted variables and then testing the bias. The test does not rely on the availability of the omitted variables, and is based on a comparison between maximum-likelihood with Kalman filter vector autoregression and linear vector autoregression estimates. The empirical part considers two illustrative examples: a univariate regression analysis, based on the rational expectation-augmented Phillips curve; and a VAR with output, inflation and interest rates where a “price puzzle” arises.

Keywords: Kalman filter; Hausman test; Omitted variable bias; Phillips curve; Price puzzle; VAR (search for similar items in EconPapers)
JEL-codes: C12 C34 C52 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s00362-023-01513-1 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01513-1

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-023-01513-1

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().