Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms (Q538155)
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scientific article; zbMATH DE number 5899177
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| English | Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms |
scientific article; zbMATH DE number 5899177 |
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Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms (English)
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23 May 2011
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goodness-of-fit test
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QMLE/LSE
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Box-Pierce
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Ljung-Box
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residual autocorrelation
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structural representation
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weak VARMA models
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0.95167387
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0.94063747
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0.9192818
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0.9051124
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0.89871335
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0.8963965
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0.89593697
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0.89477944
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0.8768748
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