Testing for Noncausal Vector Autoregressive Representation

Mehdi Hamidi Sahneh ()

No 2204921, Proceedings of Economics and Finance Conferences from International Institute of Social and Economic Sciences

Abstract: We propose a test for non-causal 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 non-causal 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 andit 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; Non-causal Process; Vector Autoregressive. (search for similar items in EconPapers)
JEL-codes: C32 C50 (search for similar items in EconPapers)
Pages: 1 page
Date: 2015-09
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Published in Proceedings of the Proceedings of the 4th Economics & Finance Conference, London, Sep 2015, pages 19-19

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https://iises.net/proceedings/4th-economics-financ ... =22&iid=019&rid=4921 First version, 2015

Related works:
Working Paper: Testing for Noncausal Vector Autoregressive Representation (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:sek:iefpro:2204921

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