Testing for serial independence in vector autoregressive models

DOI10.1007/s00362-018-1039-4zbMath1409.62176OpenAlexW2892064892MaRDI QIDQ1757250

Xianqiang Yang

Publication date: 3 January 2019

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

Full work available at URL: https://doi.org/10.1007/s00362-018-1039-4

zbMATH Keywords

empirical characteristic functionVAR modelsserial dependence tests

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Computationally efficient approximations for independence tests in non-parametric regression ⋮ On the vector-valued generalized autoregressive models ⋮ A score test for detecting extreme values in a vector autoregressive model ⋮ New classes of tests for the Weibull distribution using Stein's method in the presence of random right censoring

Uses Software

• IndependenceTests

Cites Work

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