Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors

DOI10.1016/J.CSDA.2021.107321MaRDI QIDQ2242146zbMATH OpenOpenAlexWikidataFDO

Authors Muyi Li, Yan-Fen Zhang

Publication date 9 November 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2021.107321

zbMATH Keywords

goodness-of-fit testmultivariate white noise checkingrandom weighting bootstrapweak VAR model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models

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