Title:Residual Autocorrelation Testing for Vector Error Correction Models Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, Helmut; SAIKKONEN, PenttiDate:2006Citation:
- Journal of Econometrics, 2006, 134, 2, 579-604
Type:ArticleAbstract: 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 ...