Wild bootstrap Ljung-Box test for cross correlations of multivariate time series

DOI10.1016/j.econlet.2016.08.015zbMath1400.62188OpenAlexW2517885694MaRDI QIDQ1672587

Taewook Lee

Publication date: 11 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.08.015

zbMATH Keywords

VARcross correlationmultivariate time serieswild bootstrapLjung-Box testCCC-GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

A residual-based test for multivariate GARCH models using transformed quadratic residuals ⋮ Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change

Cites Work

• The wild bootstrap, tamed at last
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
• Bootstrap procedures under some non-i.i.d. models
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Jackknife, bootstrap and other resampling methods in regression analysis
• Wild bootstrapping variance ratio tests
• Bootstrap and wild bootstrap for high dimensional linear models
• The Multivariate Portmanteau Statistic
• On a measure of lack of fit in time series models
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