Testing for serial correlation of unknown form in cointegrated time series models

Annals of the Institute of Statistical Mathematics

Volumn 57, Issue 3, 2005, Pages 575-595

  Duchesne, Pierre ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Cointegration; Diagnostic test; Exogenous variables; Kernel spectrum estimator; Portmanteau test; Vector autoregressive process

Indexed keywords

COINTEGRATION; DIAGNOSTIC TEST; EXOGENOUS VARIABLES; KERNEL SPECTRUM ESTIMATOR; PORTMANTEAU TEST; VECTOR AUTOREGRESSIVE PROCESS;

ASYMPTOTIC STABILITY; COMPUTER SIMULATION; CORRELATION METHODS; CORRELATION THEORY; MATHEMATICAL MODELS; REGRESSION ANALYSIS; VECTORS;

TIME SERIES ANALYSIS;

EID: 29344434678     PISSN: 00203157     EISSN: 15729052     Source Type: Journal    
DOI: 10.1007/BF02509240     Document Type: Article

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