Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/171813 
Erscheinungsjahr: 
2014
Quellenangabe: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 2 [Issue:] 4 [Publisher:] MDPI [Place:] Basel [Year:] 2014 [Pages:] 203-216
Verlag: 
MDPI, Basel
Zusammenfassung: 
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.
Schlagwörter: 
VARMA
linear restriction
autoregressive metric
bootstrap
JEL: 
C1
C3
C4
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