Comparison of procedures for fitting the autoregressive order of a vector error correction model (Q4925433): Difference between revisions

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+Statistical analysis of cointegration vectors
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+The role of the constant and linear terms in cointegration analysis of nonstationary variables
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+Testing for co-integration in vector autoregressions with non-stationary volatility
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+Specification via model selection in vector error correction models
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+Optimal lag-length choice in stable and unstable VAR models under situations of homoscedasticity and ARCH
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+Testing for serial correlation of unknown form in cointegrated time series models
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+Residual autocorrelation testing for vector error correction models
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+Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
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+Diagnostic Checking in ARMA Models With Uncorrelated Errors
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+Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
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+Testing the Cointegrating Rank with Uncorrelated but Dependent Errors
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+A REVIEW OF SYSTEMS COINTEGRATION TESTS
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+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
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+On a measure of lack of fit in time series models
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+The Multivariate Portmanteau Statistic
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+ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
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+Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term
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