Nielsen, Heino Bohn - In: Econometrics Journal 11 (2008) 1, pp. 39-57
This paper suggests a set of simple diagnostic tools for assessing the influence of a patch of κ observations in a cointegrated vector autoregressive model. The diagnostics are based on the leave-κ-out principle ( Bruce and Martin, 1989Journal of the Royal Statistical Society, Series B, 51,...