Tests for non-correlation of two cointegrated ARMA time series

DOI10.1111/1467-9892.00322zbMath1036.62089OpenAlexW3125187084MaRDI QIDQ4455672

Dinh Tuan Pham, Poch Roy, Lyne Cédras

Publication date: 16 March 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00322

zbMATH Keywords

innovationindependence testresidual cross-correlation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Related Items (10)

Most stringent test of independence for time series ⋮ Unnamed Item ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Exact maximum likelihood estimation of structured or unit root multivariate time series models ⋮ Exact maximum likelihood estimation of partially nonstationary vector ARMA models ⋮ Consistent testing for non‐correlation of two cointegrated ARMA time series ⋮ A model-free test for independence between time series ⋮ Testing for serial correlation of unknown form in cointegrated time series models ⋮ A symbolic test for testing independence between time series ⋮ A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series

Cites Work

• Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Unnamed Item

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