Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
Year of publication: |
2010
|
---|---|
Authors: | Raïssi, Hamdi |
Published in: |
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. - Springer. - Vol. 19.2010, 2, p. 304-324
|
Publisher: |
Springer |
Subject: | Cointegration | Weak error process | Portmanteau tests | Lagrange multiplier test | Vector error correction model |
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