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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Tests for serial correlation in mean and variance of a sequence of time series objects, 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
Cites Work
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