A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations-Reference-Cited by-同舟云学术

A Simple Asymptotically F-Distributed Portmanteau Test for Diagnostic Checking of Time Series Models With Uncorrelated Innovations

Published:2020-11-25 Issue: Volume: Page:1-17
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Wang Xuexin¹,Sun Yixiao²

Affiliation:

1. MOE Key Laboratory of Econometrics, The Wang Yanan Institute for Studies in Economics, Department of Statistics, School of Economics, Fujian Key Lab of Statistics, Xiamen University, Xiamen, China;;

2. Department of Economics, UC San Diego, La Jolla, CA

Funder

National Science Foundation

National Natural Science Foundation of China

NSF

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2020.1832505

Reference38 articles.

1. Generic Uniform Convergence

2. The Message in Daily Exchange Rates: A Conditional-Variance Tale

3. Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

4. An Asymptotically Pivotal Transform of the Residuals Sample Autocorrelations With Application to Model Checking

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