Diagnostic checking of multivariate nonlinear time series models with martingale difference errors

DOI10.1016/j.spl.2007.10.003zbMath1141.62064OpenAlexW2016456044MaRDI QIDQ928971

Pierre Duchesne, Dominique Chabot-Hallé

Publication date: 11 June 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.10.003

zbMATH Keywords

conditional least squares estimators

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (7)

Improved multivariate portmanteau test ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Semi-strong linearity testing in linear models with dependent but uncorrelated errors ⋮ On portmanteau-type tests for nonlinear multivariate time series ⋮ Bootstrapping multivariate portmanteau tests for vector autoregressive models with weak assumptions on errors ⋮ On Estimation of the Bivariate Poisson INAR Process ⋮ Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

Uses Software

• FinTS

Cites Work

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