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Residual Autocorrelation in VECMs by Ed Gar Yunda is a document available to read on EtoBox.

What is Residual Autocorrelation in VECMs about?

1) The document analyzes residual autocorrelation testing for vector error correction models (VECMs) when some variables are cointegrated. 2) It derives the asymptotic distributions of Lagrange multiplier and portmanteau tests for residual autocorrelation in VECMs. 3) Monte Carlo simulations show that LM tests have satisfactory size properties only for testing low-order autocorrelation in small systems, while portmanteau tests have roughly correct size for higher-order autocorrelation if adjusted for coin

Author

Ed Gar Yunda

Language

EN