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Testing for serial independence in vector autoregressive models

Author

Listed:
  • Simos G. Meintanis

    (National and Kapodistrian University of Athens
    North-West University)

  • Joseph Ngatchou-Wandji

    (EHESP Sorbonne Paris Cité & Institut Élie Cartan de Lorraine)

  • James Allison

    (North-West University)

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.

Suggested Citation

  • Simos G. Meintanis & Joseph Ngatchou-Wandji & James Allison, 2018. "Testing for serial independence in vector autoregressive models," Statistical Papers, Springer, vol. 59(4), pages 1379-1410, December.
    • Handle: RePEc:spr:stpapr:v:59:y:2018:i:4:d:10.1007_s00362-018-1039-4
    DOI: 10.1007/s00362-018-1039-4
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    References listed on IDEAS

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