Goodness-of-fit tests for vector autoregressive models in time series

DOI10.1007/s11425-009-0071-1zbMath1183.62155OpenAlexW2037492108MaRDI QIDQ2379236

Jian-hong Wu, Li Xing Zhu

Publication date: 19 March 2010

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-009-0071-1

zbMATH Keywords

tables

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Cites Work

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• A Lack-of-Fit Test for Quantile Regression
• The Lindeberg-Levy Theorem for Martingales

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