Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
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Bibliographic InfoArticle provided by Springer in its journal TEST.
Volume (Year): 19 (2010)
Issue (Month): 2 (August)
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Web page: http://www.springerlink.com/link.asp?id=120411
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- 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.
- Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
- 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, American Statistical Association, vol. 100, pages 532-544, June.
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