ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES

DOI10.1017/S0266466606060312zbMath1108.62087MaRDI QIDQ3408515

Pierre Duchesne

Publication date: 14 November 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15)

Related Items (7)

Errors-in-variables estimation with wavelets ⋮ On testing for serial correlation of unknown form using wavelet thresholding ⋮ Multi-scale tests for serial correlation ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• On consistent testing for serial correlation of unknown form in vector time series models.
• On Consistent Estimates of the Spectrum of a Stationary Time Series
• A theory for multiresolution signal decomposition: the wavelet representation
• The Multivariate Portmanteau Statistic
• Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
• Distribution of Multivariate White Noise Autocorrelations
• Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
• Testing for Serial Correlation Against an ARMA(1, 1,) Process
• Consistent Testing for Serial Correlation of Unknown Form
• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
• Testing the Fit of a Vector Autoregressive Moving Average Model
• Martingale Central Limit Theorems
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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