Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors

Journal of Time Series Analysis

Volumn 28, Issue 3, 2007, Pages 454-470

  Francq, Christian ^a   Raïssi, Hamdi ^a  

^a UNIV LILLE   (France)

Author keywords

Box pierce and Ljung Box portmanteau tests; Diagnostic checking; Goodness of fit test; Residual autocorrelation; Vector weak AR model

Indexed keywords

EID: 34247343354     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00521.x     Document Type: Article

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