Search found 2 matches
- Tue May 09, 2017 6:02 am
- Forum: VARs (Vector Autoregression Models)
- Topic: Non Liner Wald Restrictions in VAR
- Replies: 3
- Views: 7572
Re: Non Liner Wald Restrictions in VAR
Thank you for your reply Tom. I did have a look at their replication. The methodology is based on VAR but it differs after that. Any idea how i perform a non linear Wald Restriction test on VAR.
- Mon May 08, 2017 5:06 pm
- Forum: VARs (Vector Autoregression Models)
- Topic: Non Liner Wald Restrictions in VAR
- Replies: 3
- Views: 7572
Non Liner Wald Restrictions in VAR
Hi, I am trying to replicate the paper The behaviour of UK stock prices and returns: is the market efficient? by K Cuthbertson, S Hayes, D Nitzsche - The Economic Journal, 1997. https://www.jstor.org/stable/pdf/2957845.pdf They use a VAR method, also used by Campbell and Shiller and derive theoretic...