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Erratum: On testing for multivariate ARCH effects in vector time series models


Book ID
124204622
Publisher
John Wiley and Sons
Year
2010
Tongue
French
Weight
164 KB
Volume
38
Category
Article
ISSN
0319-5724

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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