Test du rapport de vraisemblance pour le rang de cointégration d'un VAR avec des erreurs dépendantes

Hamdi Raïssi

doi:10.1016/j.crma.2007.11.021

Test du rapport de vraisemblance pour le rang de cointégration d'un VAR avec des erreurs dépendantes

Translated title of the contribution: Testing the co-integrating rank with the likelihood ratio test under dependent errors assumption

Hamdi Raïssi

Research output: Contribution to journal › Article › peer-review

Abstract

In this Note we consider the estimation and the test of the co-integration rank of multiple autoregressive time series model with nonindependent innovations. We show the consistency of the estimators and the validity of the likelihood ratio test in the presence of error terms with heteroscedasticity or other forms of dependence. To cite this article: H. Raïssi, C. R. Acad. Sci. Paris, Ser. I 346 (2008).

Translated title of the contribution	Testing the co-integrating rank with the likelihood ratio test under dependent errors assumption
Original language	French
Pages (from-to)	93-96
Number of pages	4
Journal	Comptes Rendus Mathematique
Volume	346
Issue number	1-2
DOIs	https://doi.org/10.1016/j.crma.2007.11.021
State	Published - Jan 2008
Externally published	Yes

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10.1016/j.crma.2007.11.021

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abstract = "In this Note we consider the estimation and the test of the co-integration rank of multiple autoregressive time series model with nonindependent innovations. We show the consistency of the estimators and the validity of the likelihood ratio test in the presence of error terms with heteroscedasticity or other forms of dependence. To cite this article: H. Ra{\"i}ssi, C. R. Acad. Sci. Paris, Ser. I 346 (2008).",

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AB - In this Note we consider the estimation and the test of the co-integration rank of multiple autoregressive time series model with nonindependent innovations. We show the consistency of the estimators and the validity of the likelihood ratio test in the presence of error terms with heteroscedasticity or other forms of dependence. To cite this article: H. Raïssi, C. R. Acad. Sci. Paris, Ser. I 346 (2008).

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Test du rapport de vraisemblance pour le rang de cointégration d'un VAR avec des erreurs dépendantes

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