TY - JOUR
TI - Testing for serial independence in vector autoregressive models
AU - Meintanis, S.G.
AU - Ngatchou-Wandji, J.
AU - Allison, J.
JO - Statistical Papers
PY - 2018
VL - 59
TODO - 4
SP - 1379-1410
PB - Springer New York LLC
SN - 0932-5026
TODO - 10.1007/s00362-018-1039-4
TODO - null
TODO - We consider tests for serial independence of arbitrary finite order for the innovations in vector autoregressive models. The tests are expressed as L2-type criteria involving the difference of the joint empirical characteristic function and the product of corresponding marginals. Asymptotic as well as Monte-Carlo results are presented. © 2018, Springer-Verlag GmbH Germany, part of Springer Nature.
ER -