HAC estimation and strong linearity testing in weak ARMA models

Journal of Multivariate Analysis

Volumn 98, Issue 1, 2007, Pages 114-144

  Francq, Christian ^a   Zakoïan, Jean Michel ^a,b  

^a UNIV LILLE   (France)

^b CREST   (France)

Author keywords

ARMA models; Diagnostic checking; Kernel estimator; Least squares estimator; Long run variance matrix; Nonlinear models

Indexed keywords

EID: 33750213990     PISSN: 0047259X     EISSN: 10957243     Source Type: Journal    
DOI: 10.1016/j.jmva.2006.02.003     Document Type: Article

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