Journal of Statistical and Econometric Methods

A note on the distribution of residual autocorrelations in VARMA(p,q) models

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• Abstract

  This paper generalizes the distribution of residual autocovariance matrices in VARMA(p,q) models obtained previously in Hosking (1980). A new simplified version of the multivariate relation between sample correlation matrix of the errors and its residuals is also established. The modifications are effective tools for identifying and dealing with the curse of dimensionality in multivariate time series.