On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model

DOI10.1016/J.ECONLET.2003.11.007MaRDI QIDQ1927481zbMATH OpenOpenAlexFDO

Authors P. Duchesne

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.11.007

zbMATH Keywords

autocovariance matricesvector time seriesdiagnostic checking

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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Cites work

• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• On the residual autocorrelation of the autoregressive conditional duration model

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(3)

• On diagnostic checking of the autoregressive conditional intensity model
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