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

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Resumen

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).

Título traducido de la contribución	Testing the co-integrating rank with the likelihood ratio test under dependent errors assumption
Idioma original	Francés
Páginas (desde-hasta)	93-96
Número de páginas	4
Publicación	Comptes Rendus Mathematique
Volumen	346
N.º	1-2
DOI	https://doi.org/10.1016/j.crma.2007.11.021
Estado	Publicada - ene. 2008
Publicado de forma externa	Sí

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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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