3 citations · 7 across the 5 of their papers we have counts for
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stat.ME2012
Lag length identification for VAR models with non-constant variance
Hamdi RaÏssi
The identification of the lag length for vector autoregressive models by mean of Akaike Information Criterion (AIC), Partial Autoregressive and Correlation Matrices (PAM and PCM he…
stat.ME2011★ 1 cited
Corrected portmanteau tests for VAR models with time-varying variance
Valentin Patilea, Hamdi Raïssi
The problem of test of fit for Vector AutoRegressive (VAR) processes with unconditionally heteroscedastic errors is studied. The volatility structure is deterministic but time-vary…
stat.ME2010★ 1 cited
Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean
Valentin Patilea, Hamdi Raïssi
Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is determin…