On the asymptotic distribution of residual autocovariances in VARX models with applications

DOI10.1007/BF02595413zbMath1087.62028MaRDI QIDQ820209

Pierre Duchesne

Publication date: 6 April 2006

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

tablesvector time seriesautocovariance matricesdiagnostic checking

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (3)

Diagnostic checking of multivariate nonlinear time series models with martingale difference errors ⋮ On modelling and diagnostic checking of vector periodic autoregressive time series models ⋮ On the power transformation of kernel-based tests for serial correlation in vector time series: some finite sample results and a comparison with the bootstrap

Cites Work

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• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• Tests for noncorrelation of two multivariate ARMA time series
• Consistent Testing for Serial Correlation of Unknown Form
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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