Escanciano, Juan Carlos; Lobato, Ignacio N.; Zhu, Lin - In: Journal of Business & Economic Statistics 31 (2013) 4, pp. 426-437
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 several attractive...