Testing constancy of the error covariance matrix in vector models

DOI10.1016/j.jeconom.2006.07.012zbMath1247.62222OpenAlexW2068379188MaRDI QIDQ451274

Bruno Eklund, Timo Teräsvirta

Publication date: 23 September 2012

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

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0549.zip

zbMATH Keywords

Monte Carlo simulationmodel misspecificationLagrange multiplier testcovariance constancyerror covariance structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Related Items (3)

TESTING CONSTANCY OF CONDITIONAL VARIANCE IN HIGH DIMENSION ⋮ Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis ⋮ A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Diagnostic Checking in a Flexible Nonlinear Time Series Model
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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