Robust residual cross correlation tests for lagged relations in time series
DOI10.1080/00949659408811563zbMATH Open0832.62080OpenAlexW2074796263MaRDI QIDQ4864210FDOQ4864210
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Publication date: 29 January 1996
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00949659408811563
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outliersasymptotic distributioncausality testsautoregressive moving average modelsresidual autocovariance estimateslagged relationsrobustified residual cross correlation tests
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
Cites Work
- Title not available (Why is that?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Causality in temporal systems. Characterizations and a Survey
- Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
- Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
- Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
Cited In (8)
- Ian McLeod’s Contribution to Time Series Analysis—A Tribute
- Testing for independence between functional time series
- Title not available (Why is that?)
- On testing for independence between the innovations of several time series
- Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
- On robust testing for conditional heteroscedasticity in time series models
- Title not available (Why is that?)
- Most stringent test of independence for time series
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