Consistent testing for non‐correlation of two cointegrated ARMA time series
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Publication:5421219
DOI10.1002/cjs.5550350114zbMath1219.62141OpenAlexW1997506160MaRDI QIDQ5421219
Publication date: 22 October 2007
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/cjs.5550350114
kernel functioncointegrationindependence testportmanteau statisticsmultivariate autoregressive moving average modelresidual cross-correlation matrices
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)
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