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Testing for serial independence in vector autoregressive models

Simos G. Meintanis, Joseph Ngatchou-Wandji and James Allison ()
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Simos G. Meintanis: National and Kapodistrian University of Athens
Joseph Ngatchou-Wandji: EHESP Sorbonne Paris Cité & Institut Élie Cartan de Lorraine
James Allison: North-West University

Statistical Papers, 2018, vol. 59, issue 4, 1379-1410

Abstract: 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.

Keywords: Empirical characteristic function; Serial dependence tests; VAR models (search for similar items in EconPapers)
Date: 2018
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