Uniform inference for cointegrated vector autoregressive processes

Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from the univariate case to multiple dimensions and show how inference can be based on these results. Furthermore, we show that lag augmentation and a recent instrumental variable procedure can also yield uniformly valid tests and confidence regions. We verify the theoretical findings and investigate finite sample properties in simulation experiments for two specific examples.

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Publication Details

Journal
Journal of Econometrics
Published
2025-01-01
DOI
https://doi.org/10.1016/j.jeconom.2024.105944
Primary Topic
Monetary Policy and Economic Impact
Type
article
Field-Weighted Citation Impact
0.00

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article

Uniform inference for cointegrated vector autoregressive processes

Christian Holberg, Susanne Ditlevsen
Journal of Econometrics
Monetary Policy and Economic Impact
article

Uniform inference for cointegrated vector autoregressive processes

Christian Holberg, Susanne Ditlevsen
article en

Abstract

Uniformly valid inference for cointegrated vector autoregressive processes has so far proven difficult due to certain discontinuities arising in the asymptotic distribution of the least squares estimator. We extend asymptotic results from the univariate case to multiple dimensions and show how inference can be based on these results. Furthermore, we show that lag augmentation and a recent instrumental variable procedure can also yield uniformly valid tests and confidence regions. We verify the theoretical findings and investigate finite sample properties in simulation experiments for two specific examples.

Journal of EconometricsVol. 247
University of Copenhagen (DK), Department of Mathematical Sciences (RU)
Novo Nordisk, Danmarks Frie Forskningsfond, Novo Nordisk Fonden
Reduced inequalities
Openalex Percentile: Top 99%
Monetary Policy and Economic Impact
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