Testing for a set of linear restrictions in VARMA models using autoregressive metric: An application to Granger causality test

Artikel

In this paper we propose a test for a set of linear restrictions in a Vector Autoregressive Moving Average (VARMA) model. This test is based on the autoregressive metric, a notion of distance between two univariate ARMA models, M0 and M1, introduced by Piccolo in 1990. In particular, we show that this set of linear restrictions is equivalent to a null distance d(M0,M1 ) between two given ARMA models. This result provides the logical basis for using d(M0,M1) = 0 as a null hypothesis in our test. Some Monte Carlo evidence about the finite sample behavior of our testing procedure is provided and two empirical examples are presented.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 2 ; Year: 2014 ; Issue: 4 ; Pages: 203-216 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: VARMA ; linear restriction ; autoregressive metric ; bootstrap

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): DiIorio, Francesca ; Triacca, Umberto
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2014

Further information

• DOI: doi:10.3390/econometrics2040203
• Handle: http://hdl.handle.net/10419/171813
• Last update: 10.03.2025, 11:42 AM CET