Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors

From MaRDI portal
Publication:5430508

DOI10.1111/j.1467-9892.2006.00521.xzbMath1165.62057OpenAlexW2135409317MaRDI QIDQ5430508

Hamdi Raïssi, Christian Francq

Publication date: 16 December 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00521.x




Related Items (27)

Quasi-maximum exponential likelihood estimator and portmanteau test of double \(\operatorname{AR}(p)\) model based on \(\operatorname{Laplace}(a,b)\)Improved multivariate portmanteau testSelection of weak VARMA models by modified Akaike's information criteriaCorrected portmanteau tests for VAR models with time-varying varianceTest of independence for functional dataAutocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errorsEstimating weak periodic vector autoregressive time seriesSemi-strong linearity testing in linear models with dependent but uncorrelated errorsImproved functional portmanteau testsInference in VARs with conditional heteroskedasticity of unknown formEstimating structural VARMA models with uncorrelated but non-independent error termsAn identification and testing strategy for proxy-SVARs with weak proxiesOn portmanteau-type tests for nonlinear multivariate time seriesTesting linear causality in mean when the number of estimated parameters is highUnnamed ItemTesting instantaneous linear Granger causality in presence of nonlinear dynamicsDiagnostic checking of multivariate nonlinear time series models with martingale difference errorsEstimation of the variance of the quasi-maximum likelihood estimator of weak VARMA modelsChi‐squared portmanteau tests for structural VARMA models with uncorrelated errorsBootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errorsMultivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error termsComparison of procedures for fitting the autoregressive order of a vector error correction modelKernel-based portmanteau diagnostic test for ARMA time series modelsA specification test for dynamic conditional distribution models with function-valued parametersTesting for correlation between two time series using a parametric bootstrapDistributions for residual autocovariances in parsimonious periodic vector autoregressive models with applicationsA note on limiting distribution of the sample auto-covariance function for the first-order autoregressive (AR(1)) model



Cites Work


This page was built for publication: Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors