Economics at your fingertips  

Testing for serial independence in vector autoregressive models

Simos G. Meintanis, Joseph Ngatchou-Wandji and James Allison ()
Additional contact information
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
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla ().

Page updated 2019-04-09
Handle: RePEc:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-018-1039-4