Tests for noncorrelation of two multivariate ARMA time series

DOI10.2307/3315734zbMath0902.62104OpenAlexW1993658621MaRDI QIDQ4358889

Khalid El Himdi, Roch Roy

Publication date: 9 December 1998

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315734

zbMATH Keywords

Granger causalityindependence testsportmanteau statisticscausality testresidual cross-correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Uses Software

• NAG

Cites Work

• Unnamed Item
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• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
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