Consistent testing for non‐correlation of two cointegrated ARMA time series

DOI10.1002/cjs.5550350114zbMath1219.62141OpenAlexW1997506160MaRDI QIDQ5421219

Abdessamad Saidi

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

zbMATH Keywords

kernel functioncointegrationindependence testportmanteau statisticsmultivariate autoregressive moving average modelresidual cross-correlation matrices

Mathematics Subject Classification ID

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)

Related Items

A note on testing hypotheses for stationary processes in the frequency domain ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes

Cites Work

• Unnamed Item
• Unnamed Item
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
• On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications
• A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
• Estimation for Partially Nonstationary Multivariate Autoregressive Models
• A Method for Testing the Independence of Two Time Series That Accounts for a Potential Pattern in the Cross-Correlation Function
• Asymptotic covariance structure of serial correlations in multivariate time series
• Testing for independence between two covariance stationary time series
• A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series
• Modeling Multiple Times Series with Applications
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Tests for noncorrelation of two multivariate ARMA time series
• Tests for non-correlation of two cointegrated ARMA time series
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
• Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
• Stochastic Comparison of Tests