Testing for serial correlation of unknown form in cointegrated time series models
Year of publication: |
2005
|
---|---|
Authors: | Duchesne, Pierre |
Published in: |
Annals of the Institute of Statistical Mathematics. - Springer. - Vol. 57.2005, 3, p. 575-595
|
Publisher: |
Springer |
Subject: | Vector autoregressive process | cointegration | exogenous variables | kernel spectrum estimator | diagnostic test | portmanteau test |
-
Asai, Manabu, (2016)
-
Escanciano, Juan Carlos, (2013)
-
Portmanteau-type tests for unit-root and cointegration
Zhang, Rongmao, (2018)
- More ...
-
Duchesne, Pierre, (2006)
-
Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange
Dionne, Georges, (2009)
-
Evaluating financial time series models for irregulary speced data: a spectral density approach
Duchesne, Pierre, (2008)
- More ...