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On Multivariate Model Selection Involving Time Series of Environmental Kuznets Curve

Huong Nguyen Thu


This paper studies a generalized version of the relation between the sample correlation matrices of errors and their residuals. The results suggest confidence bands to select a proper multivariate time series model. The literature of Environmental Kuznets Curve received particular interest, however, the empirical research on the Environmental Kuznets Curve has mainly used a reduced form approach. Therefore, the proposed techniques can be applied to identify the multivariate relation between economic growth, environmental degradation and population. A real data application is provided for the case of Sweden.


Environmental Kuznets Curve, model selection, Sweden, VARMA(p,q) models.

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