RobustMTests Without Consistent Estimation of the Asymptotic Covariance Matrix

DOI10.1198/016214506000000375MaRDI QIDQ5755037zbMATH OpenOpenAlexFDO

Authors Wei-Ming Lee, Chung-Ming Kuan

Publication date 20 August 2007

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214506000000375

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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Cited in

(24)

• Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations
• Robust M tests using kernel-based estimators with bandwidth equal to sample size
• Goodness-of-fit tests for SPARMA models with dependent error terms
• Estimating FARIMA models with uncorrelated but non-independent error terms
• Robust adaptive rate-optimal testing for the white noise hypothesis
• On a general class of long run variance estimators
• Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
• Testing the information matrix equality with robust estimators
• The cross-quantilogram: measuring quantile dependence and testing directional predictability between time series
• Fixed-smoothing asymptotics for time series
• A unified approach to proving parametric bootstrap consistency for some goodness-of-fit tests
• The portmanteau tests and the LM test for ARMA models with uncorrelated errors
• A general approach to conditional moment specification testing with projections
• Robust hypothesis tests for M-estimators with possibly non-differentiable estimating functions
• Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
• A max-correlation white noise test for weakly dependent time series
• M tests with a new normalization matrix
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• Random weighting method for M-test in linear model with dependent errors
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
• Hypothesis Testing for a Functional Parameter via Self-Normalization
• Self-normalization inference for linear trends in cointegrating regressions
• Self-normalized KPSS tests with power enhancement
• A tuning parameter free test for properties of space-time covariance functions

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