Τίτλος:
Testing for serial independence in vector autoregressive models
Γλώσσες Τεκμηρίου:
Αγγλικά
Περίληψη:
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.
Συγγραφείς:
Meintanis, S.G.
Ngatchou-Wandji, J.
Allison, J.
Περιοδικό:
Statistical Papers
Εκδότης:
Springer New York LLC
DOI:
10.1007/s00362-018-1039-4
