ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION

DOI10.1017/S0266466620000341OpenAlexW3122095799MaRDI QIDQ5051518

Liudas Giraitis, Violetta Dalla, Peter C. B. Phillips

Publication date: 23 November 2022

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466620000341

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (5)

BACKWARD CUSUM FOR TESTING AND MONITORING STRUCTURAL CHANGE WITH AN APPLICATION TO COVID-19 PANDEMIC DATA ⋮ A portmanteau-type test for detecting serial correlation in locally stationary functional time series ⋮ Robust inference on correlation under general heterogeneity ⋮ Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change ⋮ Choosing between persistent and stationary volatility

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