Wild bootstrap tests for autocorrelation in vector autoregressive models

DOI10.1007/s00362-016-0744-0zbMath1383.62203MaRDI QIDQ1685299

Niklas Ahlgren, Paul Catani

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

zbMATH Keywords

conditional heteroskedasticity; autocorrelation; wild bootstrap; Lagrange multiplier test; vector autoregressive model; heteroskedasticity-consistent covariance matrix estimator

Mathematics Subject Classification ID

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

Related Items

Tests for serial correlation in mean and variance of a sequence of time series objects, On the vector-valued generalized autoregressive models, Wild bootstrap Ljung-Box test for cross correlations of multivariate time series, Testing for serial independence in vector autoregressive models, On the performance of weighted bootstrapped kernel deconvolution density estimators

Uses Software

• R
• ccgarch

Cites Work

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