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

Hamdi Raïssi (1)

1 IRMAR - Institut de Recherche Mathématique de Rennes

Mots clés: Cointegration; Weak error process; Portmanteau tests; Lagrange multiplier test; Vector error correction model

Domaines: Statistiques [math.ST]; Théorie [stat.TH]; Probabilités [math.PR]

Hamdi Raïssi. Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors. Test, 2010, 19 (2), pp.304-324. ⟨10.1007/s11749-009-0156-8⟩. ⟨hal-00536387⟩