Tests for non-correlation of two cointegrated ARMA time series

DOI10.1111/1467-9892.00322zbMATH Open1036.62089OpenAlexW3125187084MaRDI QIDQ4455672FDOQ4455672

Authors: Dinh-Tuan Pham, Poch Roy, Lyne Cédras 

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00322

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zbMATH Keywords

independence testinnovationresidual cross-correlation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

• Title not available (Why is that?)
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores

Cited In (12)

• Exact maximum likelihood estimation of partially nonstationary vector ARMA models
• Tests for non-correlation of two infinite-order cointegrated vector autoregressive series
• A symbolic test for testing independence between time series
• A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series
• A generalized portmanteau test for independence between two stationary 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
• Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series
• Testing for serial correlation of unknown form in cointegrated time series models
• Most stringent test of independence for time series
• Exact maximum likelihood estimation of structured or unit root multivariate time series models
• A model-free test for independence between time series

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