Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
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- Boubacar Mainassara, Y. & Francq, C., 2011.
"Estimating structural VARMA models with uncorrelated but non-independent error terms,"
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- Boubacar Mainassara, Yacouba & Francq, Christian, 2009. "Estimating structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 15141, University Library of Munich, Germany.
- Boubacar Mainassara, Yacouba, 2010. "Selection of weak VARMA models by modified Akaike's information criteria," MPRA Paper 24981, University Library of Munich, Germany.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2016.
"Inference in VARs with conditional heteroskedasticity of unknown form,"
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- Ralf Brüggemann & Carsten Jentsch & Carsten Trenkler, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Paper Series of the Department of Economics, University of Konstanz 2014-13, Department of Economics, University of Konstanz.
- Brüggemann, Ralf & Jentsch, Carsten & Trenkler, Carsten, 2014. "Inference in VARs with Conditional Heteroskedasticity of Unknown Form," Working Papers 14-21, University of Mannheim, Department of Economics.
- Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
- Pierre Duchesne & Pierre Lafaye de Micheaux, 2013. "Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 496-507, July.
- Chabot-Hallé, Dominique & Duchesne, Pierre, 2008. "Diagnostic checking of multivariate nonlinear time series models with martingale difference errors," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 997-1005, June.
- Abdelkamel Alj & Christophe Ley & Guy Melard, 2015. "Asymptotic Properties of QML Estimators for VARMA Models with Time-Dependent Coefficients: Part I," Working Papers ECARES ECARES 2015-21, ULB -- Universite Libre de Bruxelles.
- Boubacar Maïnassara, Yacouba & Raïssi, Hamdi, 2015. "Semi-strong linearity testing in linear models with dependent but uncorrelated errors," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 110-115.
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