A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series

DOI10.2307/2287837zbMath0466.62083OpenAlexW4253237046MaRDI QIDQ3918954

John F. Geweke

Publication date: 1981

Full work available at URL: https://doi.org/10.2307/2287837

zbMATH Keywords

ARMA modelsautoregressionARIMA modelsLagrange multiplier testapproximate slopescomparison of tests of independencecovariance-stationary time seriesWald F- test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)

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