testcorr (Q128243)
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Testing Zero Correlation
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|---|---|---|---|
| default for all languages | No label defined |
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| English | testcorr |
Testing Zero Correlation |
Statements
20 April 2026
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Computes the test statistics for examining the significance of autocorrelation in univariate time series, cross-correlation in bivariate time series, Pearson correlations in multivariate series and test statistics for i.i.d. property of univariate series given in Dalla, Giraitis and Phillips (2022), <https://www.cambridge.org/core/journals/econometric-theory/article/abs/robust-tests-for-white-noise-and-crosscorrelation/4D77C12C52433F4C6735E584C779403A>, <https://elischolar.library.yale.edu/cowles-discussion-paper-series/57/>.
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Liudas Giraitis
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Peter C. B. Phillips
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