Estimating structural VARMA models with uncorrelated but non-independent error terms
From MaRDI portal
Publication:631613
DOI10.1016/j.jmva.2010.10.009zbMath1207.62168MaRDI 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
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
Related Items
Asymmetric heavy-tailed vector auto-regressive processes with application to financial data, Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors, Multistep ahead forecasting of vector time series, Estimating weak periodic vector autoregressive time series, Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms, 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, Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations, Modified Schwarz and Hannan-Quinn information criteria for weak VARMA models, Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models, Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms, Estimating the orders of weak multivariate ARMA models, Estimating the asymptotic variance matrix of the QMLE of weak multivariate ARMA models, Semi-strong linearity testing in linear models with dependent but uncorrelated errors, Inference in VARs with conditional heteroskedasticity of unknown form, Multivariate portmanteau tests of the adequacy of weak VARMA models., Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes, Multivariate portmanteau tests for weak multiplicative seasonal VARMA models, Goodness-of-fit tests for SPARMA models with dependent error terms, Estimating FARIMA models with uncorrelated but non-independent error terms, 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, Selection of weak VARMA models by modified Akaike's information criteria
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Estimating linear representations of nonlinear processes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A functional central limit theorem for weakly dependent sequences of random variables
- HAC estimation and strong linearity testing in weak ARMA models
- Estimation of vector Armax models
- Consistent autoregressive spectral estimates
- Modeling of time series arrays by multistep prediction or likelihood methods.
- On consistent testing for serial correlation of unknown form in vector time series models.
- Nonlinear time series. Nonparametric and parametric methods
- Identification of refined ARMA echelon form models for multivariate time series
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Asymptotic Estimation and Hypothesis Testing Results for Vector Linear Time Series Models
- Recursive estimation of mixed autoregressive-moving average order
- Vector linear time series models
- The Identification and Parameterization of Armax and State Space Forms
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Diagnostic Checking in ARMA Models With Uncorrelated Errors
