On consistent testing for serial correlation of unknown form in vector time series models.

DOI10.1016/S0047-259X(03)00126-XzbMath1036.62093OpenAlexW2035342034MaRDI QIDQ1427530

Roch Roy, Pierre Duchesne

Publication date: 14 March 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0047-259x(03)00126-x

zbMATH Keywords

diagnostic testvector autoregressive processportmanteau testexogenous variableskernel spectrum estimatordynamic simultaneous equation model

Mathematics Subject Classification ID

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

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