کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5097445 | 1376589 | 2006 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Residual autocorrelation testing for vector error correction models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
In applied time series analysis, checking for autocorrelation in a fitted model is a routine diagnostic tool. Therefore it is useful to know the asymptotic and small sample properties of the standard tests for the case when some of the variables 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 (LM) and portmanteau tests are given. Monte Carlo simulations show that the LM tests have satisfactory size properties only if autocorrelation of small order is tested in systems of small dimension. In contrast, portmanteau tests have roughly correct size in small samples only if higher order residual autocorrelation is tested. Their critical values have to be adjusted for the cointegration rank of the system, however.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 134, Issue 2, October 2006, Pages 579-604
Journal: Journal of Econometrics - Volume 134, Issue 2, October 2006, Pages 579-604
نویسندگان
Ralf Brüggemann, Helmut Lütkepohl, Pentti Saikkonen,