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

DOI10.1007/BF02595413MaRDI QIDQ820209zbMATH OpenFDO

Authors P. Duchesne

Publication date 6 April 2006

Published in Test (Search for Journal in Brave)

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)

Recommendations

• On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
• On consistent testing for serial correlation of unknown form in vector time series models.
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications
• scientific article; zbMATH DE number 4062348
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals

Cites work

• scientific article; zbMATH DE number 3633585 (Why is no real title available?)
• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 2015218 (Why is no real title available?)
• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• scientific article; zbMATH DE number 2109191 (Why is no real title available?)
• A proof of asymptotic normality for some VARX models
• Approximation Theorems of Mathematical Statistics
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Estimation of vector Armax models
• Measurement of Linear Dependence and Feedback Between Multiple Time Series
• On ARX(\(\infty)\) approximation
• On a measure of lack of fit in time series models
• On consistent testing for serial correlation of unknown form in vector time series models.
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• Tests for noncorrelation of two multivariate ARMA time series
• The Multivariate Portmanteau Statistic

Cited in

(9)

• On modelling and diagnostic checking of vector periodic autoregressive time series models
• On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
• On consistent testing for serial correlation of unknown form in vector time series models.
• A note on the asymptotic distribution of impulse response functions of estimated VAR models with orthogonal residuals
• 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
• Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
• scientific article; zbMATH DE number 4062348 (Why is no real title available?)
• On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
• Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications

This page was built for publication: On the asymptotic distribution of residual autocovariances in VARX models with applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q820209)