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TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS

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References

1997On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity243 cited
1996Consistent Testing for Serial Correlation of Unknown Form204 cited
1991Spectral based testing of the martingale hypothesis168 cited
2005Diagnostic Checking in ARMA Models With Uncorrelated Errors164 cited
1997A limit theory for long-range dependence and statistical inference on related models145 cited
2005On linear processes with dependent innovations104 cited
2000Spectral tests of the martingale hypothesis under conditional heteroscedasticity103 cited
2002TESTING FOR ZERO AUTOCORRELATION IN THE PRESENCE OF STATISTICAL DEPENDENCE97 cited
2005Bootstrapping the Box–Pierce Q test: A robust test of uncorrelatedness88 cited
1999Testing for ARCH in the presence of a possibly misspecified conditional mean81 cited
2006THE VARIANCE RATIO STATISTIC AT LARGE HORIZONS79 cited

Cited by

2016Quantile spectral processes: Asymptotic analysis and inference46 cited
2016Consistent Testing for Pairwise Dependence in Time Series33 cited
2017Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations29 cited

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2015A bootstrapped spectral test for adequacy in weak ARMA models28 cited