A power comparison between autocorrelation based tests

DOI10.1016/j.spl.2018.07.015zbMath1414.62363OpenAlexW2883080338WikidataQ129411983 ScholiaQ129411983MaRDI QIDQ1726718

Raja Ben Hajria, Hamdi Raïssi, Salah Khardani

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2018.07.015

zbMATH Keywords

cointegrationLagrange multiplier testsportmanteau testsresidual autocorrelationsVAR modelVECM modelvector autoregressive (VAR) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Diagnostics, and linear inference and regression (62J20)

Uses Software

• JMulTi
• vars

Cites Work

• Unnamed Item
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