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

DOI10.1016/J.JECONOM.2020.05.008MaRDI QIDQ2116320zbMATH OpenOpenAlexFDO

Authors Phyllis Wan, Richard A. Davis

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)

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Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• GARCH processes: structure and estimation
• Gauss-Newton and M-estimation for ARMA processes with infinite variance
• High moment partial sum processes of residuals in GARCH models and their applications
• Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
• Measuring and testing dependence by correlation of distances
• Measuring nonlinear dependence in time-series, a distance correlation approach
• On a measure of lack of fit in time series models
• Probability. Theory and examples.
• Time series: theory and methods.

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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