Optimal Tests of Noncorrelation Between Multivariate Time Series

DOI10.1198/016214507000000239MaRDI QIDQ3632561zbMATH OpenOpenAlexFDO

Authors Marc Hallin, Abdessamad Saidi

Publication date 12 June 2009

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214507000000239

zbMATH Keywords

Haugh-El Himdi-Roy testsKoch-Yang-Hallin-Saidi testslocal asymptotic normalitytests of noncorrelationtime seriesvector autoregressive model

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• On portmanteau-type tests for nonlinear multivariate time series
• A class of optimal tests for contemporaneous non-causality in VAR models
• A generalized portmanteau test for independence between two stationary time series
• Tests for non-correlation of two infinite-order cointegrated vector autoregressive series
• Optimal rank-based tests for block exogeneity in vector autoregressions
• ON THE PITMAN NON-ADMISSIBILITY OF CORRELOGRAM-BASED METHODS
• Tests for noncorrelation of two multivariate ARMA time series
• On testing for separable correlations of multivariate time series
• New HSIC-based tests for independence between two stationary multivariate time series
• Consistent testing for non‐correlation of two cointegrated ARMA time series
• Locally robust inference for non-Gaussian SVAR models
• Marc Hallin: a commented bibliography (from 1972 to 2023)
• A frequency-domain based test for non-correlation between stationary time series

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