Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models

Niklas Ahlgren; Paul Catani

Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models

Statistics, Helsinki

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Scientific

Original language	English
Title of host publication	Conference booklet for the 25th Nordic Conference in Mathematical Statistics
Number of pages	2
Place of Publication	Åbo
Publication date	02.06.2014
Article number	37
Publication status	Published - 02.06.2014
MoE publication type	B3 Article in conference proceedings
Event	Nordic Conference in Mathematical Statistics - Åbo, Finland Duration: 02.06.2014 → 06.06.2014 Conference number: 25

Keywords

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

Access to Document

http://www.utustats.fi/nordstat-2014/

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Cite this

@inproceedings{b333f2f260d74a01a6d74cc30a89ec8d,

title = "Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models",

keywords = "112 Statistics and probability, Conditional heteroskedasticity, Error autocorrelation, Vector autoregressive model, Wild bootstrap",

author = "Niklas Ahlgren and Paul Catani",

note = "Published abstract only, therefore not reported in KOTA 2014 Volume: Proceeding volume: ; Nordic Conference in Mathematical Statistics ; Conference date: 02-06-2014 Through 06-06-2014",

year = "2014",

month = jun,

day = "2",

language = "English",

booktitle = "Conference booklet for the 25th Nordic Conference in Mathematical Statistics",

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AU - Catani, Paul

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PY - 2014/6/2

Y1 - 2014/6/2

KW - 112 Statistics and probability

KW - Conditional heteroskedasticity

KW - Error autocorrelation

KW - Vector autoregressive model

KW - Wild bootstrap

M3 - Conference contribution

BT - Conference booklet for the 25th Nordic Conference in Mathematical Statistics

CY - Åbo

T2 - Nordic Conference in Mathematical Statistics

Y2 - 2 June 2014 through 6 June 2014

ER -