Testing for serial correlation of unknown form in cointegrated time series models

DOI10.1007/BF02509240zbMath1095.62107MaRDI QIDQ2501358

Pierre Duchesne

Publication date: 6 September 2006

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

zbMATH Keywords

cointegrationdiagnostic testvector autoregressive processportmanteau testexogenous variableskernel spectrum estimator

Mathematics Subject Classification ID

Density estimation (62G07) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Residual autocorrelation testing for vector error correction models ⋮ Corrected portmanteau tests for VAR models with time-varying variance ⋮ Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Comparison of procedures for fitting the autoregressive order of a vector error correction model ⋮ On consistent testing for serial correlation in seasonal time series models ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap

Cites Work

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