Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
From MaRDI portal
Publication:6573706
DOI10.1111/j.1467-9574.2009.00424.xMaRDI QIDQ6573706
Christian M. Hafner, Helmut Herwartz
Publication date: 17 July 2024
Published in: Statistica Neerlandica (Search for Journal in Brave)
Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Nonparametric inference (62Gxx)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Analytical quasi maximum likelihood inference in multivariate volatility models
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- Bootstrap inference in systems of single equation error correction models
- Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Testing for serial correlation in multivariate regression models
- Generalized autoregressive conditional heteroscedasticity
- Jackknife, bootstrap and other resampling methods in regression analysis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Asymptotic theory for multivariate GARCH processes.
- On the application of robust, regression-based diagnostics to models of conditional means and conditional variances
- Bootstrap and wild bootstrap for high dimensional linear models
- Testing for linear autoregressive dynamics under heteroskedasticity
- Heteroscedasticity in Models with Lagged Dependent Variables
- A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
- Bootstrapping Autoregression under Non-stationary Volatility
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
- Testing That a Dependent Process Is Uncorrelated
- ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
- TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE
- Common Persistence in Conditional Variances
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
This page was built for publication: Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
