Testing for serial independence in vector autoregressive models
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Meintanis, Simos G.
Allison, James
Ngatchou-Wandji, Joseph
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Springer
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Abstract
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
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Meintanis, S.G. et al. 2018. Testing for serial independence in vector autoregressive models. Statistical papers, 59(4):1379-1410. [https://doi.org/10.1007/s00362-018-1039-4]