Testing for fundamental vector moving average representations

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DOI10.3982/QE393zbMath1398.62224MaRDI QIDQ4586305

Juan Carlos Escanciano, Bin Chen, Jin Ho Choi

Publication date: 12 September 2018

Published in: Quantitative Economics (Search for Journal in Brave)

zbMATH Keywords

identification fundamental representations generalized spectrum invertible moving average martingale difference sequence (MDS)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Martingales with continuous parameter (60G44)

Related Items (5)

Statistical inference for independent component analysis: application to structural VAR models ⋮ Identification and Estimation of Structural VARMA Models Using Higher Order Dynamics ⋮ Misspecification of noncausal order in autoregressive processes ⋮ Heteroscedasticity testing after outlier removal ⋮ Estimation of time series models using residuals dependence measures

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