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.
References listed on IDEAS
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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
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