Testing for the martingale difference hypothesis in multivariate time series models
Guochang Wang, Ke Zhu, and Xiaofeng Shao
| Year of publication: |
2022
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|---|---|
| Authors: | Wang, Guochang ; Zhu, Ke ; Shao, Xiaofeng |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Abingdon : Taylor & Francis, ISSN 1537-2707, ZDB-ID 2043744-4. - Vol. 40.2022, 3, p. 980-994
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| Subject: | Martingale difference divergence matrix | Martingale difference hypothesis | Multivariate time series models | Specification test | Wild bootstrap | Martingal | Martingale | Zeitreihenanalyse | Time series analysis | Bootstrap-Verfahren | Bootstrap approach | Theorie | Theory | Statistischer Test | Statistical test |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/07350015.2021.1889568 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539404