Optimal rank-based tests for block exogeneity in vector autoregressions

DOI10.1016/j.jmva.2012.12.003zbMath1277.62205OpenAlexW1993312956MaRDI QIDQ391529

Maria Caterina Bramati

Publication date: 10 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2012.12.003

zbMATH Keywords

local asymptotic normalitymultivariate ranksVAR modelsblock independencemultivariate signs

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Tests for noncorrelation of two multivariate ARMA time series
• Asymptotic Linearity of a Rank Statistic in Regression Parameter

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