A VAR allows you to test joint hypothesis that involve restrictions across multiple equations by
A)computing a z-statistic.
B)computing the BIC but not the AIC.
C)using a stability test.
D)computing an F-statistic.

Question

Quizplus · Accepted Answer

VAR models involve multiple equations, and the F-statistic is the most appropriate test for joint hypothesis involving restrictions across multiple equations. AIC and BIC are used for model selection, not hypothesis testing. Z-statistics are used for hypothesis testing on single coefficients, not joint hypotheses. Stability tests assess the stability of a VAR over time, but do not test joint hypotheses.

A VAR Allows You to Test Joint Hypothesis That Involve