Residual autocorrelation testing for vector error correction models

Journal of Econometrics

Volumn 134, Issue 2, 2006, Pages 579-604

  Brüggemann, Ralf ^a   Lütkepohl, Helmut ^a   Saikkonen, Pentti ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF HELSINKI   (Finland)

Author keywords

Cointegration; Dynamic econometric models; Residual autocorrelation; Vector autoregressions; Vector error correction models

Indexed keywords

ASYMPTOTIC STABILITY; CORRELATION METHODS; ERROR ANALYSIS; LAGRANGE MULTIPLIERS; MATHEMATICAL MODELS; STANDARDS; VECTORS;

COINTEGRATION; DYNAMIC ECONOMETRIC MODELS; RESIDUAL AUTOCORRELATION; VECTOR AUTOREGRESSIONS; VECTOR ERROR CORRECTION MODELS (VECM);

TIME SERIES ANALYSIS;

EID: 33747887014     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2005.07.006     Document Type: Article

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