ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
From MaRDI portal
Publication:3408515
DOI10.1017/S0266466606060312zbMath1108.62087MaRDI QIDQ3408515
Publication date: 14 November 2006
Published in: Econometric Theory (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Inference from stochastic processes and spectral analysis (62M15)
Related Items (7)
Errors-in-variables estimation with wavelets ⋮ On testing for serial correlation of unknown form using wavelet thresholding ⋮ Multi-scale tests for serial correlation ⋮ UNIT ROOT TESTS WITH WAVELETS ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ Testing for multivariate autoregressive conditional heteroskedasticity using wavelets ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
- On consistent testing for serial correlation of unknown form in vector time series models.
- On Consistent Estimates of the Spectrum of a Stationary Time Series
- A theory for multiresolution signal decomposition: the wavelet representation
- The Multivariate Portmanteau Statistic
- Distribution of Residual Autocorrelations in Multiple Autoregressive Schemes
- Distribution of Multivariate White Noise Autocorrelations
- Automatic Frequency Domain Inference on Semiparametric and Nonparametric Models
- Testing for Serial Correlation Against an ARMA(1, 1,) Process
- Consistent Testing for Serial Correlation of Unknown Form
- Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models
- Testing the Fit of a Vector Autoregressive Moving Average Model
- Martingale Central Limit Theorems
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
This page was built for publication: ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
