Wild bootstrap tests for autocorrelation in vector autoregressive models
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Publication:1685299
DOI10.1007/s00362-016-0744-0zbMath1383.62203MaRDI QIDQ1685299
Publication date: 13 December 2017
Published in: Statistical Papers (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10138/36634
conditional heteroskedasticity; autocorrelation; wild bootstrap; Lagrange multiplier test; vector autoregressive model; heteroskedasticity-consistent covariance matrix estimator
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G09: Nonparametric statistical resampling methods
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Uses Software
Cites Work
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