Distribution of the cross‐correlations of squared residuals in ARIMA models
From MaRDI portal
Publication:4344824
DOI10.2307/3315329zbMath0879.62089OpenAlexW2025665007MaRDI QIDQ4344824
No author found.
Publication date: 22 January 1998
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3315329
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Economic time series analysis (91B84)
Related Items
On testing for causality in variance between two multivariate time series ⋮ Testing for correlation between two time series using a parametric bootstrap
Cites Work
- A causality-in-variance test and its application to financial market prices
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
- Least squares estimation in the regression model with autoregressive-moving average errors
- Linear Statistical Inference and its Applications
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
