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Title: A characteristic function based test for serial independence in vector autoregressive models Authors:  James Allison - Northwest University (South Africa) [presenting]
Simos Meintanis - University of Athens (Greece)
Joseph Ngatchou-Wandji - University of Lorraine (France)
Abstract: Tests for serial independence of an arbitrary finite order for the innovations in vector autoregressive models are considered. The tests are expressed as $L_2$--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.