11 citations · 17 across the 3 of their papers we have counts for
3 papers
math.ST2020★ 1 cited
Identification and estimation of Structural VARMA models using higher order dynamics
Carlos Velasco
We use information from higher order moments to achieve identification of non-Gaussian structural vector autoregressive moving average (SVARMA) models, possibly non-fundamental or…
math.ST2017★ 5 cited
New goodness-of-fit diagnostics for conditional discrete response models
Igor Kheifets, Carlos Velasco
This paper proposes new specification tests for conditional models with discrete responses, which are key to apply efficient maximum likelihood methods, to obtain consistent estima…
math.ST2006★ 11 cited
Distribution free goodness-of-fit tests for linear processes
Miguel A. Delgado, Javier Hidalgo, Carlos Velasco
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics…