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Escanciano et al., 2013 - Google Patents

Automatic specification testing for vector autoregressions and multivariate nonlinear time series models

Escanciano et al., 2013

Document ID
6403015597899017538
Author
Escanciano J
Lobato I
Zhu L
Publication year
Publication venue
Journal of Business & Economic Statistics

External Links

Snippet

This article introduces an automatic test for the correct specification of a vector autoregression (VAR) model. The proposed test statistic is a Portmanteau statistic with an automatic selection of the order of the residual serial correlation tested. The test presents …
Continue reading at www.tandfonline.com (other versions)

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