Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

DOI10.1016/J.JSPI.2011.03.022zbMATH Open1213.62142OpenAlexW2166239561MaRDI QIDQ538155FDOQ538155

Authors: Y. Boubacar Mainassara 

Publication date: 23 May 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.03.022

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zbMATH Keywords

goodness-of-fit testresidual autocorrelationQMLE/LSEweak VARMA modelsBox-PierceLjung-Boxstructural representation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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Cited In (29)

• Corrected portmanteau tests for VAR models with time-varying variance
• Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
• Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
• Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
• On portmanteau-type tests for nonlinear multivariate time series
• Multivariate portmanteau tests of the adequacy of weak VARMA models.
• Portmanteau tests for periodic ARMA models with dependent errors
• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• Estimation of weak ARMA models with regime changes
• Portmanteau test for a class of multivariate asymmetric power GARCH model
• An extended portmanteau test for VARMA models with mixing nonlinear constraints
• Improved multivariate portmanteau test
• The portmanteau tests and the LM test for ARMA models with uncorrelated errors
• Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
• Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
• Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
• Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
• Estimating weak periodic vector autoregressive time series
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• Goodness-of-fit tests for SPARMA models with dependent error terms
• Portmanteau test for the asymmetric power GARCH model when the power is unknown
• A new non-linear \(AR(1)\) time series model having approximate beta marginals
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• Diagnostic checking of periodic vector autoregressive time series models with dependent errors
• On consistent testing for serial correlation of unknown form in vector time series models.
• Estimating structural VARMA models with uncorrelated but non-independent error terms
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
• Title not available (Why is that?)
• Selection of weak VARMA models by modified Akaike's information criteria

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