Wild bootstrap tests for autocorrelation in vector autoregressive models

DOI10.1007/s00362-016-0744-0zbMath1383.62203OpenAlexW2170822754MaRDI QIDQ1685299

Niklas Ahlgren, Paul Catani

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/36634

zbMATH Keywords

conditional heteroskedasticityautocorrelationwild bootstrapLagrange multiplier testvector autoregressive modelheteroskedasticity-consistent covariance matrix estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

Related Items (5)

Wild bootstrap Ljung-Box test for cross correlations of multivariate time series ⋮ On the vector-valued generalized autoregressive models ⋮ Tests for serial correlation in mean and variance of a sequence of time series objects ⋮ On the performance of weighted bootstrapped kernel deconvolution density estimators ⋮ Testing for serial independence in vector autoregressive models

Uses Software

• R
• ccgarch

Cites Work

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