Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models

Niklas Ahlgren, Paul Catani

Research output: Chapter in Book/Report/Conference proceedingConference contributionScientific

Original languageEnglish
Title of host publicationConference booklet for the 25th Nordic Conference in Mathematical Statistics
Number of pages2
Place of PublicationÅbo
Publication date02.06.2014
Article number37
Publication statusPublished - 02.06.2014
MoE publication typeB3 Article in conference proceedings
EventNordic Conference in Mathematical Statistics - Åbo, Finland
Duration: 02.06.201406.06.2014
Conference number: 25

Keywords

  • 112 Statistics and probability
  • Conditional heteroskedasticity
  • Error autocorrelation
  • Vector autoregressive model
  • Wild bootstrap

Cite this

Ahlgren, N., & Catani, P. (2014). Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models. In Conference booklet for the 25th Nordic Conference in Mathematical Statistics [37]. http://www.utustats.fi/nordstat-2014/