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Diagnostic analysis for a vector autoregressive model under Student-super-′s t-distributions

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  • Yonghui Liu
  • Ruochen Sang
  • Shuangzhe Liu

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  • Yonghui Liu & Ruochen Sang & Shuangzhe Liu, 2017. "Diagnostic analysis for a vector autoregressive model under Student-super-′s t-distributions," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 71(2), pages 86-114, May.
    • Handle: RePEc:bla:stanee:v:71:y:2017:i:2:p:86-114
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    References listed on IDEAS

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    1. Tsai, Chih-Ling & Wu, Xizhi, 1992. "Assessing local influence in linear regression models with first-order autoregressive or heteroscedastic error structure," Statistics & Probability Letters, Elsevier, vol. 14(3), pages 247-252, June.
    2. Heino Bohn Nielsen, 2008. "Influential observations in cointegrated VAR models: Danish money demand 1973--2003," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 39-57, March.
    3. Fukang Zhu & Shuangzhe Liu & Lei Shi, 2016. "Local influence analysis for Poisson autoregression with an application to stock transaction data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(1), pages 4-25, February.
    4. Nedret Billor, 1999. "An application of the local influence approach to ridge regression," Journal of Applied Statistics, Taylor & Francis Journals, vol. 26(2), pages 177-183.
    5. Paula, Gilberto A. & Medeiros, Marcio & Vilca-Labra, Filidor E., 2009. "Influence diagnostics for linear models with first-order autoregressive elliptical errors," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 339-346, February.
    6. Shi, Lei & Huang, Mei, 2011. "Stepwise local influence analysis," Computational Statistics & Data Analysis, Elsevier, vol. 55(2), pages 973-982, February.
    7. W.‐Y. Poon & Y. S. Poon, 1999. "Conformal normal curvature and assessment of local influence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 51-61.
    8. Li-Chu Chien & Tsung-Shan Tsou, 2014. "Robust influence diagnostics for generalized linear models with continuous responses," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 68(4), pages 324-343, November.
    9. Lei Shi & Md. Mostafizur Rahman & Wen Gan & Jianhua Zhao, 2015. "Stepwise local influence in generalized autoregressive conditional heteroskedasticity models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(2), pages 428-444, February.
    10. Manuel Galea & Heleno Bolfarine & Filidor Vilcalabra, 2002. "Influence diagnostics for the structural errors-in-variables model under the Student-t distribution," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(8), pages 1191-1204.
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    Cited by:

    1. Liu, Shuangzhe & Leiva, Víctor & Zhuang, Dan & Ma, Tiefeng & Figueroa-Zúñiga, Jorge I., 2022. "Matrix differential calculus with applications in the multivariate linear model and its diagnostics," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

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