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  • Search: subject:"portmanteau tests"
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Year of publication
Subject
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Portmanteau tests 4 Diagnostic checking 2 Impulse responses 2 Information criteria 2 Likelihood ratio tests 2 Model selection 2 portmanteau tests 2 subspace methods 2 Box-Pierce and Ljung-Box portmanteau tests 1 Cointegration 1 Einheitswurzeltest 1 Exchange rate 1 Goodness-of-fit test 1 Kaufkraftparität 1 Lagrange multiplier test 1 Linear and non-linear dependence, and Portmanteau tests 1 Martingale tests 1 Normality tests 1 Purchasing power parity 1 QMLE/LSE 1 Residual autocorrelations 1 Statistical test 1 Statistischer Test 1 Structural break 1 Structural representation 1 Strukturbruch 1 Theorie 1 Theory 1 Time series analysis 1 Unconditionally heteroscedastic errors 1 Unit root test 1 Unit root tests 1 Unit root tests with breaks 1 VAR model 1 Vector error correction model 1 Weak error process 1 Wechselkurs 1 Zeitreihenanalyse 1 residual autocorrelation 1 weak VARMA models 1
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Online availability
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Undetermined 4 Free 3
Type of publication
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Article 5 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 6 English 2
Author
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García-Hiernaux, Alfredo 2 Ivanov, Ventzislav 2 Kilian, Lutz 2 Azar, Samih Antoine 1 Boubacar Mainassara, Yacouba 1 Patilea, V. 1 Raïssi, H. 1 Raïssi, Hamdi 1
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Institution
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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Documentos de Trabajo del ICAE 2 Studies in Nonlinear Dynamics & Econometrics 2 Journal of Multivariate Analysis 1 MPRA Paper 1 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 1 The empirical economics letters : a monthly international journal of economics 1
Source
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RePEc 7 ECONIS (ZBW) 1
Showing 1 - 8 of 8
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Diagnostic checking using subspace methods
García-Hiernaux, Alfredo - Facultad de Ciencias Económicas y Empresariales, … - 2009
The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the...
Persistent link: https://www.econbiz.de/10011272959
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Cover Image
Diagnostic checking using subspace methods
García-Hiernaux, Alfredo - Facultad de Ciencias Económicas y Empresariales, … - 2009
The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single series and the Hoskings' statistic in the...
Persistent link: https://www.econbiz.de/10005057518
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Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms
Boubacar Mainassara, Yacouba - Volkswirtschaftliche Fakultät, … - 2009
We consider portmanteau tests for testing the adequacy of vector autoregressive moving-average (VARMA) models under the … iid assumptions on the noise), it is known that the asymptotic distribution of the portmanteau tests is that of a weighted … portmanteau tests. Monte carlo experiments illustrate the finite sample performance of the modified portmanteau test. …
Persistent link: https://www.econbiz.de/10008602744
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The post-war behavior of foreign exchange rates in Lebanon
Azar, Samih Antoine - In: The empirical economics letters : a monthly … 12 (2013) 9, pp. 1005-1010
Persistent link: https://www.econbiz.de/10010362317
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Corrected portmanteau tests for VAR models with time-varying variance
Patilea, V.; Raïssi, H. - In: Journal of Multivariate Analysis 116 (2013) C, pp. 190-207
distribution obtained in a correctly specified VAR model with i.i.d. innovations. As a consequence the standard portmanteau tests … which are available in routinely used software are unreliable in our framework. Using our results modified portmanteau tests …
Persistent link: https://www.econbiz.de/10011042039
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Autocorrelation-based tests for vector error correction models with uncorrelated but nonindependent errors
Raïssi, Hamdi - In: TEST: An Official Journal of the Spanish Society of … 19 (2010) 2, pp. 304-324
Persistent link: https://www.econbiz.de/10008674088
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A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
Ivanov, Ventzislav; Kilian, Lutz - In: Studies in Nonlinear Dynamics & Econometrics 9 (2007) 1, pp. 1219-1219
It is common in empirical macroeconomics to fit vector autoregressive (VAR) models to construct estimates of impulse responses. An important preliminary step in impulse response analysis is the selection of the VAR lag order. In this paper, we compare the six lag-order selection criteria most...
Persistent link: https://www.econbiz.de/10004966211
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A Practitioner's Guide to Lag Order Selection For VAR Impulse Response Analysis
Ivanov, Ventzislav; Kilian, Lutz - In: Studies in Nonlinear Dynamics & Econometrics 9 (2005) 1, pp. 1219-1219
It is common in empirical macroeconomics to fit vector autoregressive (VAR) models to construct estimates of impulse responses. An important preliminary step in impulse response analysis is the selection of the VAR lag order. In this paper, we compare the six lag-order selection criteria most...
Persistent link: https://www.econbiz.de/10005246307
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