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

DOI10.1016/J.CSDA.2008.02.029zbMath1452.62675OpenAlexW2006312194MaRDI QIDQ1023788

Jennifer Poulin, Pierre Duchesne

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.02.029

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Inference from stochastic processes and spectral analysis (62M15)

Related Items (2)

On testing for serial correlation of unknown form using wavelet thresholding ⋮ Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics

Uses Software

• itsmr

Cites Work

• Residual autocorrelation testing for vector error correction models
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• The Multivariate Portmanteau Statistic
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• Distribution of Multivariate White Noise Autocorrelations
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Power Transformations to Induce Normality and their Applications
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Consistent Testing for Serial Correlation of Unknown Form
• Testing the Fit of a Vector Autoregressive Moving Average Model
• A GENERALIZED PORTMANTEAU GOODNESS-OF-FIT TEST FOR TIME SERIES MODELS
• Elements of multivariate time series analysis
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