Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
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- Boubacar Mainassara, Y. & Francq, C., 2011.
"Estimating structural VARMA models with uncorrelated but non-independent error terms,"
Journal of Multivariate Analysis,
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- Boubacar Mainassara, Yacouba, 2010. "Selection of weak VARMA models by modified Akaike's information criteria," MPRA Paper 24981, University Library of Munich, Germany.
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KeywordsGoodness-of-fit test; QMLE/LSE; Box-Pierce and Ljung-Box portmanteau tests; residual autocorrelation; Structural representation; weak VARMA models;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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