Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors

DOI10.1007/s11749-009-0156-8zbMath1203.91234OpenAlexW2034921929MaRDI QIDQ619148

Hamdi Raïssi

Publication date: 22 January 2011

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-009-0156-8

zbMATH Keywords

cointegrationLagrange multiplier testportmanteau testsvector error correction modelweak error process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (4)

Corrected portmanteau tests for VAR models with time-varying variance ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ A power comparison between autocorrelation based tests ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model

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