Residual autocorrelation testing for vector error correction models
نویسندگان
چکیده
منابع مشابه
TESTING FOR AUTOCORRELATION IN UNEQUALLY REPLICATED FUNCTIONAL MEASUREMENT ERROR MODELS
In the ordinary linear models, regressing the residuals against lagged values has been suggested as an approach to test the hypothesis of zero autocorrelation among residuals. In this paper we extend these results to the both equally and unequally replicated functionally measurement error models. We consider the equally and unequally replicated cases separately, because in the first case the re...
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in the ordinary linear models, regressing the residuals against lagged values has been suggested as an approach to test the hypothesis of zero autocorrelation among residuals. in this paper we extend these results to the both equally and unequally replicated functionally measurement error models. we consider the equally and unequally replicated cases separately, because in the first case the re...
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متن کاملSupplemental Material for “Automated Estimation of Vector Error Correction Models”
This supplement has two sections. Section 1 contains proofs of some auxiliary lemmas used in the main text. Section 2 provides some further simulation results which complement those reported in the main text. 1 Proofs of Auxiliary Lemmas This section provides proofs of some lemmas which are used in the main text to derive the asymptotic properties of the LS shrinkage estimator. For ease of expo...
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In this paper we propose a new testing procedure to detect the presence of a cointegrating relationship that follows a globally stationary smooth transition autoregressive (STAR) process. We start from a general VAR model, embed the STAR error correction mechanism (ECM) and then derive the generalised nonlinear STAR error correction model. We provide two operational versions of the tests. First...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2006
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2005.07.006