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Testing for serial correlation of unknown form in cointegrated time series models

  • Pierre Duchesne

    ()

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File URL: http://hdl.handle.net/10.1007/BF02509240
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Article provided by Springer in its journal Annals of the Institute of Statistical Mathematics.

Volume (Year): 57 (2005)
Issue (Month): 3 (September)
Pages: 575-595

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Handle: RePEc:spr:aistmt:v:57:y:2005:i:3:p:575-595
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  1. 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.
  2. Sims, Christopher A & Stock, James H & Watson, Mark W, 1990. "Inference in Linear Time Series Models with Some Unit Roots," Econometrica, Econometric Society, vol. 58(1), pages 113-44, January.
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