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.
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More about this item
Keywordscointegration; dynamic econometric models; vector autoregressions; vector error correction models; residual autocorrelation;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-02-08 (All new papers)
- NEP-ECM-2004-02-08 (Econometrics)
- NEP-ETS-2004-02-08 (Econometric Time Series)
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