Mixed Portmanteau Tests for Time‐Series Models

DOI10.1111/j.1467-9892.2005.00420.xzbMath1090.62100OpenAlexW3121952590MaRDI QIDQ5467618

Heung Wong, Shiqing Ling

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00420.x

zbMATH Keywords

nonlinear time series modelsportmanteau statisticsBox-Jenkins modelmodel diagnostic checking

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (12)

ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION ⋮ A JOINT PORTMANTEAU TEST FOR CONDITIONAL MEAN AND VARIANCE TIME-SERIES MODELS ⋮ On the estimation and diagnostic checking of the ARFIMA-HYGARCH model ⋮ Asymmetric linear double autoregression ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Serial independence tests for innovations of conditional mean and variance models ⋮ Portmanteau tests based on quadratic forms in the autocorrelations ⋮ Some weighted mixed portmanteau tests for diagnostic checking in linear time series models ⋮ Non-standard inference for augmented double autoregressive models with null volatility coefficients ⋮ A mixed portmanteau test for ARMA-GARCH models by the quasi-maximum exponential likelihood estimation approach ⋮ Residual-based rank specification tests for AR-GARCH type models ⋮ MTests with a New Normalization Matrix

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• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS

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