Goodness-of-fit testing for time series models via distance covariance

DOI10.1016/j.jeconom.2020.05.008OpenAlexW3047715333MaRDI QIDQ2116320

Richard A. Davis, Phyllis Wan

Publication date: 16 March 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.00708

zbMATH Keywords

distance covarianceserial dependencetime series modelsgoodness-of-fit testingestimated residuals

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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