Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change

DOI10.1007/S42952-022-00172-6MaRDI QIDQ2111948OpenAlexFDO

Authors Taewook Lee

Publication date 17 January 2023

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s42952-022-00172-6

zbMATH Keywords

ARMAwild bootstrapresidual autocorrelationvariance changeLjung-Box test

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
• A note on conditional versus joint unconditional weak convergence in bootstrap consistency results
• Bootstrap and wild bootstrap for high dimensional linear models
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Corrected portmanteau tests for VAR models with time-varying variance
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Jackknife, bootstrap and other resampling methods in regression analysis
• On a measure of lack of fit in time series models
• ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
• The estimation of the order of an ARMA process
• The wild bootstrap, tamed at last
• Time series: theory and methods.
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

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