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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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File URL: http://hdl.handle.net/10.1007/s11749-009-0156-8
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Article provided by Springer in its journal TEST.

Volume (Year): 19 (2010)
Issue (Month): 2 (August)
Pages: 304-324

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Handle: RePEc:spr:testjl:v:19:y:2010:i:2:p:304-324

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Related research

Keywords: Cointegration; Weak error process; Portmanteau tests; Lagrange multiplier test; Vector error correction model; 91B84; 62M10;

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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, September.
  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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