An extended portmanteau test for VARMA models with mixing nonlinear constraints

DOI10.1111/J.1467-9892.2008.00573.XMaRDI QIDQ3552848zbMATH OpenOpenAlexFDO

Authors Ignacio Arbués

Publication date 22 April 2010

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2008.00573.x

zbMATH Keywords

multivariate time seriesdynamic factor analysisstate spacegoodness of fitfactor-structural vector autoregressionPena-Box model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Multivariate portmanteau tests of the adequacy of weak VARMA models.
• Improved multivariate portmanteau test
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors

Cites work

• scientific article; zbMATH DE number 4062348 (Why is no real title available?)
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• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• Determining the Number of Factors in Approximate Factor Models
• Diagnostic tests for multiple time series models
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Funds, Factors, and Diversification in Arbitrage Pricing Models
• Identifying a Simplifying Structure in Time Series
• Inferential Theory for Factor Models of Large Dimensions
• Linear transformations of vector ARMA processes
• On The Peña–Box Model
• On a measure of lack of fit in time series models
• The Generalized Dynamic Factor Model
• The Multivariate Portmanteau Statistic
• The generalized dynamic factor model consistency and rates

Cited in

(6)

• Corrected portmanteau tests for VAR models with time-varying variance
• Testing the Fit of a Vector Autoregressive Moving Average Model
• Departure from normality of increasing-dimension martingales
• Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
• On the reduced-rank model with leading index
• Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

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