Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

Econometrica ◽  
1991 ◽  
Vol 59 (6) ◽  
pp. 1551 ◽  
Author(s):  
Soren Johansen
Keyword(s):  
Hypothesis Testing ◽  
Autoregressive Models ◽  
Gaussian Vector ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive

scholarly journals Inference With Cross-Lagged Effects - Problems in Time and New Interpretations

2022 ◽  
Author(s):  
Charles C Driver
Keyword(s):  
Hypothesis Testing ◽  
Alternative Interpretation ◽  
Autoregressive Models ◽  
Cross Effect ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive ◽  
Testing Problem ◽  
Hypothesis Testing Problem ◽  
Realistic View ◽  
Lagged Effects

The interpretation of cross-effects from vector autoregressive models to infer structure and causality amongst constructs is widespread and sometimes problematic. I first explain how hypothesis testing and regularization are invalidated when processes that are thought to fluctuate continuously in time are, as is typically done, modeled as changing only in discrete steps. I then describe an alternative interpretation of cross-effect parameters that incorporates correlated random changes for a potentially more realistic view of how process are temporally coupled. Using an example based on wellbeing data, I demonstrate how some classical concerns such as sign flipping and counter intuitive effect directions can disappear when using this combined deterministic / stochastic interpretation. Models that treat processes as continuously interacting offer both a resolution to the hypothesis testing problem, and the possibility of the combined stochastic / deterministic interpretation.

A Spatial Prior for Bayesian Vector Autoregressive Models

1999 ◽  
Vol 39 (2) ◽  
pp. 297-317 ◽  
Author(s):  
James P. LeSage ◽  
Anna Krivelyova
Keyword(s):  
Autoregressive Models ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive

Fitting Multilevel Vector Autoregressive Models in Stan, JAGS, and Mplus

2021 ◽  
pp. 1-24
Author(s):  
Yanling Li ◽  
Julie Wood ◽  
Linying Ji ◽  
Sy-Miin Chow ◽  
Zita Oravecz
Keyword(s):  
Autoregressive Models ◽  
Vector Autoregressive Models ◽  
Vector Autoregressive
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