A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES

DOI10.1017/S0266466608090063zbMath1277.62198arXiv0810.2276MaRDI QIDQ3551020

Xiao-Feng Shao

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0810.2276

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

62M07: Non-Markovian processes: hypothesis testing

Related Items

Unnamed Item, CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS, Consistent inference for predictive regressions in persistent economic systems, Testing for parameter instability and structural change in persistent predictive regressions, On testing for independence between the innovations of several time series

Uses Software

• longmemo

Cites Work

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