Testing for serial independence in vector autoregressive models

被引：0
|
作者：
Simos G. Meintanis
Joseph Ngatchou-Wandji
James Allison
机构：
[1] National and Kapodistrian University of Athens,Department of Economics
[2] North-West University,Unit for Business Mathematics and Informatics
[3] EHESP Sorbonne Paris Cité & Institut Élie Cartan de Lorraine,undefined
来源：
Statistical Papers | 2018年 / 59卷
关键词：
Empirical characteristic function; Serial dependence tests; VAR models;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
收藏
页码：1379 / 1410
页数：31
相关论文
共 50 条
  • [1] Testing for serial independence in vector autoregressive models
    Meintanis, Simos G.
    Ngatchou-Wandji, Joseph
    Allison, James
    [J]. STATISTICAL PAPERS, 2018, 59 (04) : 1379 - 1410
  • [2] Bayesian testing of restrictions on vector autoregressive models
    Sun, Dongchu
    Ni, Shawn
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2012, 142 (11) : 3008 - 3022
  • [3] Testing for random effects and serial correlation in spatial autoregressive models
    Montes-Rojas, Gabriel V.
    [J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2010, 140 (04) : 1013 - 1020
  • [4] Testing for Serial Correlation in Autoregressive Exogenous Models with Possible GARCH Errors
    Li, Hanqing
    Liu, Xiaohui
    Chen, Yuting
    Fan, Yawen
    [J]. ENTROPY, 2022, 24 (08)
  • [5] Statistical identification in panel structural vector autoregressive models based on independence criteria
    Herwartz, Helmut
    Wang, Shu
    [J]. JOURNAL OF APPLIED ECONOMETRICS, 2024, 39 (04) : 620 - 639
  • [6] Testing identification via heteroskedasticity in structural vector autoregressive models
    Luetkepohl, Helmut
    Meitz, Mika
    Netsunajev, Aleksei
    Saikkonen, Pentti
    [J]. ECONOMETRICS JOURNAL, 2021, 24 (01): : 1 - 22
  • [7] Testing exact rational expectations in cointegrated vector autoregressive models
    Johansen, S
    Swensen, AR
    [J]. JOURNAL OF ECONOMETRICS, 1999, 93 (01) : 73 - 91
  • [8] Testing cointegrating coefficients in vector autoregressive error correction models
    Hansen, G
    Kim, JR
    Mittnik, S
    [J]. ECONOMICS LETTERS, 1998, 58 (01) : 1 - 5
  • [9] Testing for serial independence of panel errors
    [J]. Du, Z. (duzc@swufe.edu.cn), 1600, Elsevier B.V., Netherlands (76):
  • [10] Testing for serial independence of panel errors
    Du, Zaichao
    [J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2014, 76 : 248 - 261
12345