Testing constancy of the error covariance matrix in vector models

Bruno Eklund and Timo Teräsvirta

Journal of Econometrics, 2007, vol. 140, issue 2, 753-780

Date: 2007
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Working Paper: Testing constancy of the error covariance matrix in vector models (2006)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:140:y:2007:i:2:p:753-780

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