scientific article; zbMATH DE number 233049

MaRDI QIDQ5287463zbMATH OpenFDO

Authors Helmut Lütkepohl

Publication date 31 January 1994

zbMATH Keywords

ARMA processesautoregressive moving averagenonstationaritynull hypothesis of parameter constancytime series modelstime varying parameters

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(17)

• Testing parameter constancy in linear models against stochastic stationary parameters
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.
• Testing for time variation in an unobserved components model for the U.S. economy
• Testing hypotheses on the ``drift of parameters in ARMA and ARCH models
• Weekday dependence of German stock market returns
• scientific article; zbMATH DE number 5142517 (Why is no real title available?)
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
• Corrected portmanteau tests for VAR models with time-varying variance
• Testing constancy of the error covariance matrix in vector models
• A NONPARAMETRIC TEST OF CHANGING CONDITIONAL VARIANCES IN AUTOREGRESSIVE TIME SERIES
• Parameter Stability and Semiparametric Inference in Time Varying Auto-Regressive Conditional Heteroscedasticity Models
• On testing changes in autoregressive parameters of a VAR model
• Testing Second-Order Dynamics for Autoregressive Processes in Presence of Time-Varying Variance
• Testing for variance changes in autoregressive models with unknown order
• Testing for parameter constancy in the time series direction in panel data models
• Specification tests for time-varying parameter models with stochastic volatility
• A local vector autoregressive framework and its applications to multivariate time series monitoring and forecasting

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