HAC estimation and strong linearity testing in weak ARMA models

DOI10.1016/J.JMVA.2006.02.003MaRDI QIDQ860337zbMATH OpenOpenAlexFDO

Authors C. Francq, Jean-Michel Zakoïan

Publication date 9 January 2007

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2006.02.003

zbMATH Keywords

ARMA modelsleast-squares estimatornonlinear modelskernel estimatorlong-run variance matrixdiagnostic checking

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
• Estimation of weak ARMA models with regime changes
• A test for randomness against ARMA alternatives.
• Testing for uncorrelated errors in ARMA models: non-standard Andrews-Ploberger tests

Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3765004 (Why is no real title available?)
• scientific article; zbMATH DE number 192992 (Why is no real title available?)
• scientific article; zbMATH DE number 193126 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 1911817 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Asymptotic theory for a vector ARMA-GARCH model
• Consistency of Kernel Estimators of Heteroscedastic and Autocorrelated Covariance Matrices
• Consistent Covariance Matrix Estimation for Dependent Heterogeneous Processes
• Consistent Testing for Serial Correlation of Unknown Form
• Convergence of Distributions Generated by Stationary Stochastic Processes
• Covariance matrix estimation for estimators of mixing weak ARMA models
• Diagnostic Checking in ARMA Models With Uncorrelated Errors
• Estimating linear representations of nonlinear processes
• HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
• Inference For Autocorrelations Under Weak Assumptions
• Large Sample Properties of Generalized Method of Moments Estimators
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Maximum Likelihood Estimation of Misspecified Models
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
• Testing for Neglected Heterogeneity
• The Covariance Matrix of the Information Matrix Test
• The mixing property of bilinear and generalised random coefficient autoregressive models
• Time Series Regression with a Unit Root

Cited in

(16)

• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Estimation of weak ARMA models with regime changes
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Computing and estimating information matrices of weak ARMA models
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Estimating weak periodic vector autoregressive time series
• Semi-strong linearity testing in linear models with dependent but uncorrelated errors
• High dimensional generalized empirical likelihood for moment restrictions with dependent data
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• Testing linear causality in mean when the number of estimated parameters is high
• Diagnostic checking of periodic vector autoregressive time series models with dependent errors
• On the univariate representation of BEKK models with common factors
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• HAC ESTIMATION BY AUTOMATED REGRESSION
• Selecting between causal and noncausal models with quantile autoregressions

This page was built for publication: HAC estimation and strong linearity testing in weak ARMA models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q860337)