Estimating structural VARMA models with uncorrelated but non-independent error terms

DOI10.1016/j.jmva.2010.10.009zbMath1207.62168OpenAlexW2132407418MaRDI QIDQ631613

Yacouba Boubacar Maïnassara, Christian Francq

Publication date: 14 March 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.10.009

zbMATH Keywords

asymptotic normalitynonlinear processesQMLEstructural representationVARMA models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (24)

Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models ⋮ Goodness-of-fit tests for SPARMA models with dependent error terms ⋮ Selection of weak VARMA models by modified Akaike's information criteria ⋮ Estimating weak periodic vector autoregressive time series ⋮ Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ Asymmetric heavy-tailed vector auto-regressive processes with application to financial data ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Portmanteau tests for periodic ARMA models with dependent errors ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ An identification and testing strategy for proxy-SVARs with weak proxies ⋮ Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes ⋮ Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms ⋮ Estimating the orders of weak multivariate ARMA models ⋮ Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations ⋮ Multivariate portmanteau tests of the adequacy of weak VARMA models. ⋮ Multivariate portmanteau tests for weak multiplicative seasonal VARMA models ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications ⋮ Multistep ahead forecasting of vector time series

Cites Work

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