On the asymptotic distribution of residual autocovariances in VARX models with applications

DOI10.1007/BF02595413zbMATH Open1087.62028MaRDI QIDQ820209FDOQ820209

Authors: P. Duchesne 

Publication date: 6 April 2006

Published in: Test (Search for Journal in Brave)

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zbMATH Keywords

tablesautocovariance matricesvector time seriesdiagnostic checking

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• Consistent Testing for Serial Correlation of Unknown Form
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• Estimation of vector Armax models
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• Tests for noncorrelation of two multivariate ARMA time series
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• On consistent testing for serial correlation of unknown form in vector time series models.
• On ARX(\(\infty)\) approximation
• A proof of asymptotic normality for some VARX models
• THE RECURSIVE FITTING OF SUBSET VARX MODELS

Cited In (9)

• On modelling and diagnostic checking of vector periodic autoregressive time series models
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• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
• On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
• On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap
• On consistent testing for serial correlation of unknown form in vector time series models.
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications

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