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- W2025823954 abstract "This article develops limit theory for likelihood analysis of weak exogeneity in I(2) cointegrated vector autoregressive (VAR) models incorporating deterministic terms. Conditions for weak exogeneity in I(2) VAR models are reviewed, and the asymptotic properties of conditional maximum likelihood estimators and a likelihood-based weak exogeneity test are then investigated. It is demonstrated that weak exogeneity in I(2) VAR models allows us to conduct asymptotic conditional inference based on mixed Gaussian distributions. It is then proved that a log-likelihood ratio test statistic for weak exogeneity in I(2) VAR models is asymptotically χ2 distributed. The article also presents an empirical illustration of the proposed test for weak exogeneity using Japan's macroeconomic data." @default.
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- W2025823954 date "2012-05-01" @default.
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- W2025823954 title "Likelihood-Based Inference for Weak Exogeneity inI(2) Cointegrated VAR Models" @default.
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- W2025823954 doi "https://doi.org/10.1080/07474938.2011.607346" @default.
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