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 ...
Title:A Small Monetary System for the Euro Area Based on German Data Author(s):BRUEGGEMANN, Ralf; LUETKEPOHL, HelmutDate:2006Citation:
- Journal of Applied Econometrics, 2006, 21, 6, 683-702.
Type:ArticleAbstract: taken place in the countries of interest. Therefore, in this study, quarterly German data until 1998 are combined with data from the euro area from 1999 until 2002 and these series are used for fitting a small vector error ...