Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors

Hamdi Raïssi

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2010, vol. 19, issue 2, 304-324

Keywords: Cointegration; Weak error process; Portmanteau tests; Lagrange multiplier test; Vector error correction model; 91B84; 62M10 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11749-009-0156-8

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