A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series

DOI10.1111/j.1467-9892.2006.00473.xzbMath1111.62073OpenAlexW2159592806MaRDI QIDQ3440748

Roch Roy, Chafik Bouhaddioui

Publication date: 29 May 2007

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

Full work available at URL: https://cirano.qc.ca/files/publications/2004s-06.pdf

zbMATH Keywords

correlationasymptotic relative efficiencyvector autoregressioncross-coherency

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (12)

Most stringent test of independence for time series ⋮ Unnamed Item ⋮ A practical multivariate approach to testing volatility spillover ⋮ A distance-based test of independence between two multivariate time series ⋮ (Consistently) testing strict exogeneity against the alternative of predeterminedness in linear time-series models ⋮ A note on testing hypotheses for stationary processes in the frequency domain ⋮ Estimation of the variance of the quasi-maximum likelihood estimator of weak VARMA models ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Inference about long run canonical correlations ⋮ Testing for serial independence in vector autoregressive models ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Consistent testing for non‐correlation of two cointegrated ARMA time series

Cites Work

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• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Tests for non-correlation of two cointegrated ARMA time series
• Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
• Elements of multivariate time series analysis.

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