Wild bootstrap Ljung-Box test for autocorrelation in vector autoregressive and error correction models
نویسندگان
چکیده
منابع مشابه
TESTING FOR AUTOCORRELATION IN UNEQUALLY REPLICATED FUNCTIONAL MEASUREMENT ERROR MODELS
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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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ژورنال
عنوان ژورنال: Korean Journal of Applied Statistics
سال: 2016
ISSN: 1225-066X
DOI: 10.5351/kjas.2016.29.1.061