A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
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Publication:3440748
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Cites work
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Elements of multivariate time series analysis.
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- scientific article; zbMATH DE number 3350922 (Why is no real title available?)
- Modeling Multiple Times Series with Applications
- On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
- Prediction of multivariate time series by autoregressive model fitting
- Robust estimation in vector autoregressive moving-average models
- Some recent advances in time series modeling
- Testing for independence between two covariance stationary time series
- Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
- Tests for non-correlation of two cointegrated ARMA time series
Cited in
(16)- On consistent testing for serial correlation of unknown form in vector time series models.
- Testing for serial independence in vector autoregressive models
- (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models
- Testing nonparametric and semiparametric hypotheses in vector stationary processes
- On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
- A distance-based test of independence between two multivariate time series
- A generalized portmanteau test for independence between two stationary time series
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- New HSIC-based tests for independence between two stationary multivariate time series
- Most stringent test of independence for time series
- Inference about long run canonical correlations
- Consistent testing for non‐correlation of two cointegrated ARMA time series
- Empirical likelihood-based portmanteau tests for autoregressive moving average models with possible infinite variance innovations
- A practical multivariate approach to testing volatility spillover
- A note on testing hypotheses for stationary processes in the frequency domain
- A test for independence of two stationary infinite order autoregressive processes
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