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dc.contributor.authorBRUEGGEMANN, Ralf
dc.contributor.authorLUETKEPOHL, Helmut
dc.contributor.authorSAIKKONEN, Pentti
dc.date.accessioned2006-09-22T13:19:41Z
dc.date.available2006-09-22T13:19:41Z
dc.date.issued2006
dc.identifier.citationJournal of Econometrics, 2006, 134, 2, 579-604en
dc.identifier.urihttps://hdl.handle.net/1814/6238
dc.description.abstractIn applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case when some of the variables are cointegrated. The properties of residual autocorrelations of vector error correction models (VECMs) and tests for residual autocorrelation are derived. In particular, the asymptotic distributions of Lagrange multiplier (LM) and portmanteau tests are given. Monte Carlo simulations show that the LM tests have satisfactory size properties only if autocorrelation of small order is tested in systems of small dimension. In contrast, portmanteau tests have roughly correct size in small samples only if higher order residual autocorrelation is tested. Their critical values have to be adjusted for the cointegration rank of the system, howeveren
dc.language.isoenen
dc.relation.ispartofJournal of Econometrics
dc.titleResidual Autocorrelation Testing for Vector Error Correction Modelsen
dc.typeArticleen
dc.neeo.contributorBRUEGGEMANN|Ralf|aut|
dc.neeo.contributorLUETKEPOHL|Helmut|aut|EUI70007
dc.neeo.contributorSAIKKONEN|Pentti|aut|
dc.identifier.volume134
dc.identifier.startpage579
dc.identifier.endpage604
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