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

Pierre Duchesne ()

Annals of the Institute of Statistical Mathematics, 2005, vol. 57, issue 3, 575-595

Keywords: Vector autoregressive process; cointegration; exogenous variables; kernel spectrum estimator; diagnostic test; portmanteau test (search for similar items in EconPapers)
Date: 2005
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DOI: 10.1007/BF02509240

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