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Testing Serial Correlation in Semiparametric Time Series Models

โœ Scribed by DINGDING LI; THANASIS STENGOS


Book ID
108549536
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
206 KB
Volume
24
Category
Article
ISSN
0143-9782

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โœ Pierre Duchesne; Roch Roy ๐Ÿ“‚ Article ๐Ÿ“… 2004 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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