Testing for dependence in the input to a linear time series model

DOI10.1080/10485259608832672MaRDI QIDQ4345896zbMATH OpenOpenAlexFDO

Authors Melvin J. Hinich

Publication date 16 December 1997

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485259608832672

zbMATH Keywords

asymptotic propertiesconsistent testbicovariancesnon Gaussian data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
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• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• A NEW DIAGNOSTIC TEST OF MODEL INADEQUACY WHICH USES THE MARTINGALE DIFFERENCE CRITERION
• A test for independence based on the correlation dimension
• Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters
• BOOTSTRAPPING STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS
• Consistent Nonparametric Entropy-Based Testing
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• NONPARAMETRIC TESTS FOR SERIAL DEPENDENCE
• On Stochastic Limit and Order Relationships
• On a Method of Calculation of Semi-Invariants
• On the Statistical Treatment of Linear Stochastic Difference Equations
• TESTING FOR GAUSSIANITY AND LINEARITY OF A STATIONARY TIME SERIES

Cited in

(10)

• Model validation and order selection for linear model fitting using third- and fourth-order cumulants
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• A robust whiteness test for the identification of discrete-time linear models: use of orthonormal transfer functions
• A single-blind controlled competition among tests for nonlinearity and chaos
• TESTING FOR LINEAR DEPENDENCE IN HEAVY-TAILED DATA
• A DIAGNOSTIC TEST FOR NONLINEAR SERIAL DEPENDENCE IN TIME SERIES FITTING ERRORS
• Detecting and modeling nonlinearity in the gas furnace data
• Nonlinearity, cyclicity, and persistence in consumption and income relationships: research in honor of Melvin J. Hinich
• NONLINEARITY IN THE CANADIAN AND U.S. LABOR MARKETS: UNIVARIATE AND MULTIVARIATE EVIDENCE FROM A BATTERY OF TESTS
• Episodic nonlinearity in leading global currencies

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