An automatic portmanteau test for serial correlation

DOI10.1016/j.jeconom.2009.03.001zbMath1431.62365OpenAlexW2098078338MaRDI QIDQ2628840

Juan Carlos Escanciano, Ignacio N. Lobato

Publication date: 18 July 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.03.001

zbMATH Keywords

consistencypowerautocorrelationAkaike's AICSchwarz's BIC

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20)

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