Residual autocorrelation testing for vector error correction models

By R. Brüggemann, Helmut Lütkepohl, Pentti Saikkonen. 2006

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6fbcdbeb290162a405b0ff3915e487ed453e661f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Byeong U. Park
2. Enno Mammen
3. Wolfgang Karl Härdle
4. Szymon Borak
5. Helmut Lütkepohl
6. Muhammad Shahbaz
7. Dominik Liebl
8. Léopold Simar

In Finance

1. Byeong U. Park
2. Enno Mammen
3. Wolfgang Karl Härdle
4. Szymon Borak
5. Helmut Lütkepohl
6. Muhammad Shahbaz
7. Dominik Liebl
8. Liangjun Su

Citations in the corpus

• Time Series Modelling With Semiparametric Factor Dynamics (2009, methodology): “Some details on selection of lags for these tests can be found in Hosking (1980, 1981) and Brüggemann, Lütkepohl, and Saikkonen (2006).”
• Vector Autoregressive Models (2011, background): “It has an asymptotic χ2(hK2)-distribution under the null hypothesis for both I(0) and I(1) systems (Brüggemann et al. (2006)).”