Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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Publication:538155
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Cited in
(29)- On portmanteau-type tests for nonlinear multivariate time series
- Portmanteau tests for periodic ARMA models with dependent errors
- On consistent testing for serial correlation of unknown form in vector time series models.
- Corrected portmanteau tests for VAR models with time-varying variance
- An extended portmanteau test for VARMA models with mixing nonlinear constraints
- Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
- Estimating weak periodic vector autoregressive time series
- Diagnostic checking of periodic vector autoregressive time series models with dependent errors
- Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
- Portmanteau test for a class of multivariate asymmetric power GARCH model
- Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)
- Multivariate portmanteau tests of the adequacy of weak VARMA models.
- Goodness-of-fit tests for SPARMA models with dependent error terms
- Portmanteau test for the asymmetric power GARCH model when the power is unknown
- Improved multivariate portmanteau test
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Estimation of weak ARMA models with regime changes
- Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models
- Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors
- The portmanteau tests and the LM test for ARMA models with uncorrelated errors
- Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
- A new non-linear \(AR(1)\) time series model having approximate beta marginals
- Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
- scientific article; zbMATH DE number 7688003 (Why is no real title available?)
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Multivariate portmanteau tests for weak multiplicative seasonal VARMA models
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Selection of weak VARMA models by modified Akaike's information criteria
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
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