Tests for non-correlation of two cointegrated ARMA time series

DOI10.1111/1467-9892.00322zbMath1036.62089MaRDI QIDQ4455672

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

zbMATH Keywords

innovation; independence test; residual cross-correlation

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62E20: Asymptotic distribution theory in statistics

Related Items

Consistent testing for non‐correlation of two cointegrated ARMA time series, Exact maximum likelihood estimation of structured or unit root multivariate time series models, Exact maximum likelihood estimation of partially nonstationary vector ARMA models, A model-free test for independence between time series, Testing for serial correlation of unknown form in cointegrated time series models, 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

Cites Work

• Nonparametric tests of independence of two autoregressive time series based on autoregression rank scores
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
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