Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors

Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms

We consider portmanteau tests for testing the adequacy of structural vector autoregressive moving-average (VARMA) models under the assumption that the errors are uncorrelated but not necessarily independent. The structural forms are mainly used in econometrics to introduce instantaneous relationships between economic variables. We first study the joint distribution of the quasi-maximum likeliho...

Copula-based Multivariate GARCH Model with Uncorrelated Dependent Errors∗

Multivariate GARCH (MGARCH) models are usually estimated under multivariate normality. In this paper, for non-elliptically distributed financial returns, we propose copula-based multivariate GARCH (C-MGARCH) model with uncorrelated dependent errors, which are generated through a linear combination of dependent random variables. The dependence structure is controlled by a copula function. Our ne...

Autocorrelation Based Tests for Vector Error Cor- Rection Models with Uncorrelated but Noninde- Pendent Errors

We consider in this paper the estimation and test of fit for vector error correction models with nonindependent innovations. The asymptotic properties of the estimators and the residual autocorrelations are derived. It is shown that these asymptotic distributions can be quite different for models with iid innovations and models in which the innovations are nonindependent. Consequently the chi-s...

A Portmanteau Test for Serially Correlated Errors in Fixed Effects Models

We propose a portmanteau test for serial correlation of the error term in a fixed effects model. The test is derived as a Lagrange multiplier test, but it also has a straightforward Wald test interpretation. In Monte Carlo experiments, the test displays good size and power properties. ∗The authors thank the co-editor, the referee, David Drukker, Christian Hansen, and Jeffrey Wooldridge for thei...

Chapter 40 : Multivariate autoregressive models