Testing for serial independence in vector autoregressive models

dc.contributor.author	Meintanis, Simos G.
dc.contributor.author	Allison, James
dc.contributor.author	Ngatchou-Wandji, Joseph
dc.contributor.researchID	11985682 - Allison, James Samuel
dc.contributor.researchID	21262977 - Meintanis, Simos George
dc.date.accessioned	2018-09-27T10:58:18Z
dc.date.available	2018-09-27T10:58:18Z
dc.date.issued	2018
dc.description.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	en_US
dc.identifier.citation	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]	en_US
dc.identifier.issn	0932-5026
dc.identifier.issn	1613-9798 (Online)
dc.identifier.uri	http://hdl.handle.net/10394/31210
dc.identifier.uri	https://link.springer.com/article/10.1007/s00362-018-1039-4
dc.identifier.uri	https://doi.org/10.1007/s00362-018-1039-4
dc.language.iso	en	en_US
dc.publisher	Springer	en_US
dc.subject	Empirical characteristic function	en_US
dc.subject	Serial dependence tests	en_US
dc.subject	VAR models	en_US
dc.title	Testing for serial independence in vector autoregressive models	en_US
dc.type	Article	en_US

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