On consistent testing for serial correla
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Pierre Duchesne; Roch Roy
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Article
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2004
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Elsevier Science
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English
β 335 KB
Multivariate autoregressive models with exogenous variables (VARX) are often used in econometric applications. Many properties of the basic statistics for this class of models rely on the assumption of independent errors. Using results of Hong (Econometrica 64 (1996) 837), we propose a new test stat