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Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors

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  • Hamdi Raïssi

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  • Hamdi Raïssi, 2010. "Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 304-324, August.
    • Handle: RePEc:spr:testjl:v:19:y:2010:i:2:p:304-324
    DOI: 10.1007/s11749-009-0156-8
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    References listed on IDEAS

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    1. Andrews, Beth & Davis, Richard A. & Jay Breidt, F., 2006. "Maximum likelihood estimation for all-pass time series models," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1638-1659, August.
    2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501, Decembrie.
    3. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
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    Cited by:

    1. Warsono Warsono & Edwin Russel & Almira Rizka Putri & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2020. "Dynamic Modeling Using Vector Error-correction Model: Studying the Relationship among Data Share Price of Energy PGAS Malaysia, AKRA, Indonesia, and PTT PCL-Thailand," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 360-373.

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