Statistical Papers

, Volume 59, Issue 4, pp 1379–1410 | Cite as

Testing for serial independence in vector autoregressive models

  • Simos G. Meintanis
  • Joseph Ngatchou-Wandji
  • James AllisonEmail author
Regular Article


We consider tests for serial independence of arbitrary finite order for the innovations in vector autoregressive models. The tests are expressed as L2-type criteria involving the difference of the joint empirical characteristic function and the product of corresponding marginals. Asymptotic as well as Monte-Carlo results are presented.


Empirical characteristic function Serial dependence tests VAR models 



The authors would like to thank the Editor and the two referees for their constructive comments that led to an improved paper. The third author’s work is based on research supported by the National Research Foundation (NRF). Any opinion, finding and conclusion or recommendation expressed in this material is that of the author and the NRF does not accept any liability in this regard.


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Copyright information

© Springer-Verlag GmbH Germany, part of Springer Nature 2018

Authors and Affiliations

  • Simos G. Meintanis
    • 1
    • 2
  • Joseph Ngatchou-Wandji
    • 3
  • James Allison
    • 2
    Email author
  1. 1.Department of EconomicsNational and Kapodistrian University of AthensAthensGreece
  2. 2.Unit for Business Mathematics and InformaticsNorth-West UniversityPotchefstroomSouth Africa
  3. 3.EHESP Sorbonne Paris Cité & Institut Élie Cartan de LorraineNancyFrance

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