Kuiper, W. Erno; Pennings, Joost M. E. - In: European Review of Agricultural Economics 29 (2002) 1, pp. 67-84
This paper proposes a test for orthogonality of the errors in a vector error-correction model (VECM) that focuses on the recursive ordering among the contemporaneously correlated errors. The test is based on the fact that when the frequency of the data is sufficiently low one of the variables in...