Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes

Exact distribution theory in statistics (62E15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (26)

Corrected portmanteau tests for VAR models with time-varying variance
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
Time-varying additive model with autoregressive errors for locally stationary time series
On testing for multivariate ARCH effects in vector time series models
Multivariate portmanteau tests of the adequacy of weak VARMA models.
Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
Improved multivariate portmanteau test
A new diagnostic tool for VARMA\((p,q)\) models
Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
A goodness-of-fit test for VARMA\((p, q)\) models
Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
EMPIRICAL IDENTIFICATION OF MULTIPLE TIME SERIES
Improved functional portmanteau tests
Generalized Covariance Estimator
On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
A power comparison between autocorrelation based tests
SOME ASPECTS OF THE PERFORMANCE OF DIAGNOSTIC CHECKS IN BIVARIATE TIME SERIES MODELS
Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
Diagnostic checking of periodic vector autoregressive time series models with dependent errors
ESTIMATION AND TESTING OF A MULTIVARIATE EXPONENTIAL SMOOTHING MODEL
Checks of model adequacy for univariate time series models and their application to econometric relationships
On consistent testing for serial correlation of unknown form in vector time series models.
Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
Generalized autocovariance matrices for multivariate time series

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