Estimation of time series models using residuals dependence measures

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Generalized Covariance Estimator ⋮ Estimation of time series models using residuals dependence measures

Cites Work

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Measuring and testing dependence by correlation of distances
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
Generalized spectral tests for the martingale difference hypothesis
Efficient estimation of general dynamic models with a continuum of moment conditions
Rank-based estimation for all-pass time series models
Testing the martingale difference hypothesis using integrated regression functions
Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
An approximate maximum likelihood estimation for non-Gaussian non-minimum phase moving average processes
Moment inequalities for mixing sequences
Adaptive estimation in noncausal stationary AR processes
VAR analysis, nonfundamental representations, Blaschke matrices
A new weak dependence condition and applications to moment inequalities
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On adaptive estimation in stationary ARMA processes
Least absolute deviation estimation for all-pass time series models
Gaussian and non-Gaussian linear time series and random fields
Statistical dependence: beyond Pearson's \(\rho\)
Estimation of time series models using residuals dependence measures
Weak dependence. With examples and applications.
CONSISTENT SPECIFICATION TESTING WITH NUISANCE PARAMETERS PRESENT ONLY UNDER THE ALTERNATIVE
An efficiency result for the empirical characteristic function in stationary time-series models
Fractional differencing
On the Strong Mixing Property for Linear Sequences
Hypothesis Testing in Time Series via the Empirical Characteristic Function: A Generalized Spectral Density Approach
Testing for fundamental vector moving average representations
Noncausal Autoregressions for Economic Time Series
Testing Mutual Independence in High Dimension via Distance Covariance
Testing independence for multivariate time series via the auto-distance correlation matrix
Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
An exponential model for the spectrum of a scalar time series
Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
Local Explosion Modelling by Non-Causal Process

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