BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, Pentti - Department of Economics, European University Institute - 2004
In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case when some of the variables are cointegrated. The properties of residual...