On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model

DOI10.1016/J.ECONLET.2003.11.007zbMath1255.62242OpenAlexW2030909663MaRDI QIDQ1927481

Pierre Duchesne

Publication date: 1 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.11.007

zbMATH Keywords

vector time seriesautocovariance matricesdiagnostic checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (1)

On diagnostic checking of the autoregressive conditional intensity model

Cites Work

• On the residual autocorrelation of the autoregressive conditional duration model
• On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
• ON THE SQUARED RESIDUAL AUTOCORRELATIONS IN NON-LINEAR TIME SERIES WITH CONDITIONAL HETEROSKEDASTICITY
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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