Multivariate tests for autocorrelation in the stable and unstable VAR models
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics
Reference17 articles.
1. An Introduction to Multivariate Statistical Analysis;Andersson,1958
2. Distribution of residual autocorrelation in autoregressive moving average time series models;Box;J. Am. Statist. Assoc.,1970
3. Testing for autocorrelation in dynamic linear models;Breusch;Aust. Econ. Pap.,1978
4. Testing for serial correlation in least squares regression;Durbin;Biometrika,1950
5. Testing for serial correlation in least squares regression when some of the regressors are lagged dependent variables;Durbin;Econometrica,1970
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