IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v134y2006i2p579-604.html
   My bibliography  Save this item

Residual autocorrelation testing for vector error correction models

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ralf Brüggemann & Helmut Lütkepohl, 2006. "A small monetary system for the euro area based on German data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(6), pages 683-702, September.
  2. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price (Extended version)," MPRA Paper 17960, University Library of Munich, Germany.
  3. Andreas Röthig, 2011. "On speculators and hedgers in currency futures markets: who leads whom?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 16(1), pages 63-69, January.
  4. Siliti jr Hammadi & Ben mbarek jr Hassene, 2013. "Shocks Transmission in the Mediterranean Zone," Economics Bulletin, AccessEcon, vol. 33(2), pages 1010-1028.
  5. Amira El-Shal, 2012. "The Spillover Effects of the Global Financial Crisis on Economic Activity in Emerging Economies – Investigating the Egyptian Case Using the Financial Stress Index," Working Papers 737, Economic Research Forum, revised 2012.
  6. Nurliyana Mohd Basri & Zulkefly Abdul Karim & Noorasiah Sulaiman, 2020. "The Effects of Factors of Production Shocks on Labor Productivity: New Evidence Using Panel VAR Analysis," Sustainability, MDPI, vol. 12(20), pages 1-23, October.
  7. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164, Edward Elgar Publishing.
  8. Ida Wolden Bache, 2006. "Assessing the structural VAR approach to exchange rate pass-through," Computing in Economics and Finance 2006 309, Society for Computational Economics.
  9. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
  10. Mezgebo, Taddese, 2009. "A multivariate approach for identification of optimal locations with in Ethiopia’s wheat market to tackle soaring inflation on food price," MPRA Paper 18663, University Library of Munich, Germany.
  11. Raja Ben Hajria & Salah Khardani & Hamdi Raïssi, 2017. "Testing the lag length of vector autoregressive models: A power comparison between portmanteau and Lagrange multiplier tests," Working Papers 2017-03, Escuela de Negocios y Economía, Pontificia Universidad Católica de Valparaíso.
  12. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
  13. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  14. Xibing Li & Jiao Liu & Jian Zhou & Xiling Liu & Lei Zhou & Wei Wei, 2020. "The Effects of Macroeconomic Factors on Road Traffic Safety: A Study Based on the ARDL-ECM Model," Sustainability, MDPI, vol. 12(24), pages 1-16, December.
  15. Arbus, Ignacio, 2009. "Departure from normality of increasing-dimension martingales," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1304-1315, July.
  16. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May.
  17. Ida Wolden Bache, 2008. "Assessing estimates of the exchange rate pass-through," Working Paper 2007/12, Norges Bank.
  18. Angelos Liapis & Stylianos Artsidakis & Christos Galanos, 2023. "Forecasting Methods of Key Ratios and Their Impact in Company’s Value," JRFM, MDPI, vol. 16(3), pages 1-17, February.
  19. Andre Varella Mollick, 2008. "The Rise of the Skill Premium in Mexican Maquiladoras," Journal of Development Studies, Taylor & Francis Journals, vol. 44(9), pages 1382-1404.
  20. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.
  21. Andreas Röthig, 2009. "Microeconomic Risk Management and Macroeconomic Stability," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-642-01565-6, October.
  22. Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
  23. Jikun Huang & Jun Zhang & Scott Rozelle, 2013. "The Political Economy of Food Pricing Policy in China," Working Papers id:5317, eSocialSciences.
  24. Hajria, Raja Ben & Khardani, Salah & Raïssi, Hamdi, 2018. "A power comparison between autocorrelation based tests," Statistics & Probability Letters, Elsevier, vol. 143(C), pages 1-6.
  25. Carsten Trenkler & Enzo Weber, 2013. "Testing for codependence of cointegrated variables," Applied Economics, Taylor & Francis Journals, vol. 45(15), pages 1953-1964, May.
  26. Tine Olsen & Brett Inder, 2008. "Coffee Commodity Chain," Monash Economics Working Papers 06/08, Monash University, Department of Economics.
  27. Jikun Huang & Jun Zhang & Scott Rozelle, 2013. "The Political Economy of Food Pricing Policy in China," Working Papers id:5317, eSocialSciences.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.