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

Research output: Contribution to journalArticlepeer-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 contributionTesting the co-integrating rank with the likelihood ratio test under dependent errors assumption
Original languageFrench
Pages (from-to)93-96
Number of pages4
JournalComptes Rendus Mathematique
Volume346
Issue number1-2
DOIs
StatePublished - Jan 2008
Externally publishedYes

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