HAC estimation and strong linearity testing in weak ARMA models
DOI10.1016/J.JMVA.2006.02.003zbMATH Open1102.62096OpenAlexW2043431258MaRDI QIDQ860337FDOQ860337
Authors: C. Francq, Jean-Michel Zakoïan 
Publication date: 9 January 2007
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2006.02.003
Recommendations
- Semi-strong linearity testing in linear models with dependent but uncorrelated errors
- Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
- Estimation of weak ARMA models with regime changes
- A test for randomness against ARMA alternatives.
- Testing for uncorrelated errors in ARMA models: non-standard Andrews-Ploberger tests
ARMA modelsleast-squares estimatornonlinear modelskernel estimatorlong-run variance matrixdiagnostic checking
Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)
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Cited In (16)
- Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
- Estimation of weak ARMA models with regime changes
- Estimating FARIMA models with uncorrelated but non-independent error terms
- Computing and estimating information matrices of weak ARMA models
- Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models
- Estimating weak periodic vector autoregressive time series
- Semi-strong linearity testing in linear models with dependent but uncorrelated errors
- High dimensional generalized empirical likelihood for moment restrictions with dependent data
- Chi-squared portmanteau tests for structural VARMA models with uncorrelated errors
- Diagnostic checking of periodic vector autoregressive time series models with dependent errors
- Testing linear causality in mean when the number of estimated parameters is high
- On the univariate representation of BEKK models with common factors
- HAC ESTIMATION BY AUTOMATED REGRESSION
- Selecting between causal and noncausal models with quantile autoregressions
- Estimating structural VARMA models with uncorrelated but non-independent error terms
- Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
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