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Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications

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  • Pierre Duchesne
  • Pierre Lafaye de Micheaux

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  • Pierre Duchesne & Pierre Lafaye de Micheaux, 2013. "Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 496-507, July.
    • Handle: RePEc:bla:jtsera:v:34:y:2013:i:4:p:496-507
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    File URL: http://hdl.handle.net/10.1111/jtsa.12026
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    References listed on IDEAS

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    1. Duchesne, Pierre & Lafaye De Micheaux, Pierre, 2010. "Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 858-862, April.
    2. Boubacar Mainassara, Y. & Francq, C., 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 496-505, March.
    3. Christian Francq & Hamdi Raïssi, 2007. "Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(3), pages 454-470, May.
    4. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
    5. D. S. Poskitt & M. O. Salau, 1995. "On The Relationship Between Generalized Least Squares And Gaussian Estimation Of Vector Arma Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(6), pages 617-645, November.
    6. Francq, Christian & Roy, Roch & Zakoian, Jean-Michel, 2005. "Diagnostic Checking in ARMA Models With Uncorrelated Errors," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 532-544, June.
    7. A. I. McLeod, 1994. "Diagnostic Checking Of Periodic Autoregression Models With Application," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(2), pages 221-233, March.
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