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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- Ralf BRUEGGEMANN & Helmut LUETKEPOHL & Pentti SAIKKONEN, 2004.
"Residual Autocorrelation Testing for Vector Error Correction Models,"
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- 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.
- 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.
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