A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
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Publication:3551020
DOI10.1017/S0266466608090063zbMath1277.62198arXiv0810.2276MaRDI QIDQ3551020
Publication date: 8 April 2010
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0810.2276
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Non-Markovian processes: hypothesis testing (62M07)
Related Items (5)
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS ⋮ Unnamed Item ⋮ Consistent inference for predictive regressions in persistent economic systems ⋮ On testing for independence between the innovations of several time series ⋮ Testing for parameter instability and structural change in persistent predictive regressions
Uses Software
Cites Work
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