Residual autocorrelation testing for vector error correction models

DOI10.1016/j.jeconom.2005.07.006zbMath1418.62304OpenAlexW2119081199MaRDI QIDQ278197

Ralf Brüggemann, Pentti Saikkonen, Helmut Lütkepohl

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1814/2795

zbMATH Keywords

cointegrationvector autoregressionsdynamic econometric modelsresidual autocorrelationvector error correction models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items

Corrected portmanteau tests for VAR models with time-varying variance ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors ⋮ A power comparison between autocorrelation based tests ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ Departure from normality of increasing-dimension martingales ⋮ 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

Uses Software

• JMulTi

Cites Work

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