Corrected portmanteau tests for VAR models with time-varying variance

DOI10.1016/j.jmva.2012.12.004zbMath1277.62217arXiv1105.3638OpenAlexW1999821801MaRDI QIDQ391534

Hamdi Raïssi, Valentin Patilea

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.3638

zbMATH Keywords

residual autocorrelationsunconditionally heteroscedastic errors

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

The uncertainty of conditional returns, volatilities and correlations in DCC models ⋮ Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ A non‐parametric test for multi‐variate trend functions ⋮ Testing for Trend Specifications in Panel Data Models ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change

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