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|
|Number of pages||4|
|Journal||Comptes Rendus Mathematique|
|State||Published - Jan 2008|