Testing the Fit of a Vector Autoregressive Moving Average Model

DOI10.1111/J.1467-9892.2005.00419.XMaRDI QIDQ5467617zbMATH OpenOpenAlexFDO

Authors Efstathios Paparoditis

Publication date 24 May 2006

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2005.00419.x

zbMATH Keywords

bootstrapdiagnosticsgoodness-of-fitkernel estimatorsperiodogram matrixspectral density matrix

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

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• An extended portmanteau test for VARMA models with mixing nonlinear constraints

Cites work

• Bootstrap‐assisted Goodness‐of‐fit Tests in the Frequency Domain
• Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
• Elements of multivariate time series analysis
• Goodness‐of‐fit Test in Parametric Time Series Models
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• Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
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• Time-Series Analysis and Forecasting: An Update and Evaluation

Cited in

(17)

• A local spectral approach for assessing time series model misspecification
• 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 nonparametric and semiparametric testing for multivariate linear time series
• On consistent testing for serial correlation of unknown form in vector time series models.
• Testing for serial independence in vector autoregressive models
• Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
• Testing equality of spectral densities using randomization techniques
• Goodness-of-fit tests for vector autoregressive models in time series
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Residual autocorrelation testing for vector error correction models
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
• Nonparametric change point detection in multivariate piecewise stationary time series
• The multiple hybrid bootstrap -- resampling multivariate linear processes
• Generalized autocovariance matrices for multivariate time series
• Vector moving average models: a review
• Spectra of bivariate \(\mathrm{VAR}(p)\) models

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