HAC estimation and strong linearity testing in weak ARMA models

DOI10.1016/j.jmva.2006.02.003zbMath1102.62096OpenAlexW2043431258MaRDI QIDQ860337

Christian Francq, Jean-Michel Zakoian

Publication date: 9 January 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2006.02.003

zbMATH Keywords

nonlinear modelsleast-squares estimatorkernel estimatorARMA modelslong-run variance matrixdiagnostic checking

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Diagnostics, and linear inference and regression (62J20)

Related Items (14)

Estimating weak periodic vector autoregressive time series ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ On the univariate representation of BEKK models with common factors ⋮ Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Estimating structural VARMA models with uncorrelated but non-independent error terms ⋮ Testing linear causality in mean when the number of estimated parameters is high ⋮ Selecting between causal and noncausal models with quantile autoregressions ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ Chi‐squared portmanteau tests for structural VARMA models with uncorrelated errors ⋮ Estimation of weak ARMA models with regime changes ⋮ Estimating FARIMA models with uncorrelated but non-independent error terms ⋮ Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors ⋮ High dimensional generalized empirical likelihood for moment restrictions with dependent data

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