Testing for serial correlation of unknown form in cointegrated time series models
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Bibliographic InfoArticle provided by Springer in its journal Annals of the Institute of Statistical Mathematics.
Volume (Year): 57 (2005)
Issue (Month): 3 (September)
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Web page: http://www.springerlink.com/link.asp?id=102845
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- Dinh Tuan Pham & Roch Roy & Lyne C�Dras, 2003. "Tests for non-correlation of two cointegrated ARMA time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 553-577, 09.
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- Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
- Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
- Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
- Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006.
"Residual autocorrelation testing for vector error correction models,"
Journal of Econometrics,
Elsevier, vol. 134(2), pages 579-604, October.
- Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004. "Residual Autocorrelation Testing for Vector Error Correction Models," Economics Working Papers ECO2004/08, European University Institute.
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