Finite-sample simulation-based inference in VAR models with application to Granger causality testing
JM Dufour, T Jouini - Journal of Econometrics, 2006 - Elsevier
Tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After …
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Tests in vector autoregressive (VAR) models are typically based on large-sample approximations, involving the use of asymptotic distributions or bootstrap techniques. After …