Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

DOI10.1016/J.ECONLET.2016.08.015MaRDI QIDQ1672587zbMATH OpenOpenAlexFDO

Authors Taewook Lee

Publication date 11 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2016.08.015

zbMATH Keywords

CCC-GARCHcross correlationLjung-Box testmultivariate time seriesVARwild bootstrap

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Wild bootstrap tests for autocorrelation in vector autoregressive models
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Detecting and diagnostic checking multivariate conditional heteroscedastic time series models
• Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
• On testing for multivariate ARCH effects in vector time series models

Cites work

• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• scientific article; zbMATH DE number 2109191 (Why is no real title available?)
• Jackknife, bootstrap and other resampling methods in regression analysis
• Multivariate time series analysis. With R and financial applications
• On a measure of lack of fit in time series models
• The Multivariate Portmanteau Statistic
• The wild bootstrap, tamed at last
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Wild bootstrapping variance ratio tests

Cited in

(4)

• A residual-based test for multivariate GARCH models using transformed quadratic residuals
• Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
• Sum of squared ACF and the Ljung-Box statistics
• Testing for correlation between two time series using a parametric bootstrap

This page was built for publication: Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1672587)