A Supplementary Mimeo to the Paper Titled 'the Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market'
20 Pages Posted: 5 Dec 2002
This mimeo accompanies the paper by Brailsford, Penm and Terrell titled "The Adjustment of the Yule-Walker Relations in VAR Modeling: The Impact of the Euro on the Hong Kong Stock Market", which was published in Multinational Finance Journal, 5, 1, 35-58, 2001. In response to various matters raised by reviewers, and after further reflection on the original paper, this mimeo has been prepared. It provides supplementary information to that paper, and addresses the following issues: I. Background information on the selection of the optimal zero-non-zero (ZNZ) patterned vector autoregression (VAR) II. Problems of directly extending the use of the Yule-Walker relation for fitting ZNZ patterned VAR models III. Outline of how existing studies ignore the issue of estimating the covariance matrix IV. The standard least squares approach, GLS method and the maximum likelihood approach V. Different studies that employed the Yule-Walker equation to estimate a ZNZ patterned VAR VI. Comparison of the results with and without using the proposed covariance estimator VII. Comments on the example concerning the Hong Kong stock market and the foreign exchange market VIII. Comments on testing for serial correlation in residuals estimated from the ZNZ patterned VAR modelling.
JEL Classification: C10, C63, F30, G10
Suggested Citation: Suggested Citation