A goodness-of-fit test for VARMA\((p, q)\) models

DOI10.1016/j.jspi.2018.01.002zbMath1392.62279OpenAlexW2783503401MaRDI QIDQ1643801

Santiago Velilla, Huong Nguyen-Thu

Publication date: 20 June 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2018.01.002

zbMATH Keywords

Brownian bridgeadjusted residual tracesresidual correlation matrices

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (3)

Goodness-of-fit tests for Markov Switching VAR models using spectral analysis ⋮ A new diagnostic tool for VARMA(p,q) models ⋮ OLS estimation of Markov switching VAR models: asymptotics and application to energy use

Uses Software

• WeightedPortTest

Cites Work

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