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Table 1. We note that due to prewhitening (Step 2 above), the
Table 2. Empirical size and power (in %) of the global tests at nominal level 5% based on 10,000 realizations for various truncation levels (mand sample sizes ()n) of the log-determinant, ��m, determinant, D�m, squared trace, Q∗m, Haugh-type, QH ∗m, and ke
Figure 1. Power of global tests at αVAR(1) from Model B and Series 2 follows a VAR(1) from Model C
Figure 2. Power of ˆof instantaneous causality under the same model for variousgenerated from a VAR(1) of Model B, the second a VAR(1) from Model C, and the error series obeys (α =�∗(m) (gray) and Q∗(m) (black) with n = 100 for causality at individual lags at nominal size 5% when the first series is25) with δ = 0.20 (left); size of four tests n (right) with 95% bounds given for the acceptable range around the target value of 1%.
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