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

DOI10.1016/j.jspi.2011.03.022zbMath1213.62142OpenAlexW2166239561MaRDI QIDQ538155

Yacouba Boubacar Maïnassara

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Related Items (20)

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Cites Work

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