Goodness-of-fit testing for time series models via distance covariance

DOI10.1016/J.JECONOM.2020.05.008OpenAlexW3047715333MaRDI QIDQ2116320FDOQ2116320

Richard A. Davis, Phyllis Wan

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.00708

zbMATH Keywords

distance covariancetime series modelsserial dependencegoodness-of-fit testingestimated residuals

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• Title not available (Why is that?)
• Measuring and testing dependence by correlation of distances
• Time series: theory and methods.
• Measuring nonlinear dependence in time-series, a distance correlation approach
• A Consistent Test for Bivariate Dependence
• Algorithmic Learning Theory
• Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
• On a measure of lack of fit in time series models
• Probability
• GARCH processes: structure and estimation
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• High moment partial sum processes of residuals in GARCH models and their applications
• Consistency of general bootstrap methods for degenerate \(U\)-type and \(V\)-type statistics
• Applications of distance correlation to time series

Cited In (5)

• Goodness-of-Fit Testing for Time Series Models via Distance Covariance
• GOODNESS-OF-FIT TESTS FOR MULTIVARIATE COPULA-BASED TIME SERIES MODELS
• The analysis of variability of short data sets based on Mahalanobis distance calculation and surrogate time series testing
• Time series estimation of the dynamic effects of disaster-type shocks
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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