Robust residual cross correlation tests for lagged relations in time series

DOI10.1080/00949659408811563zbMath0832.62080OpenAlexW2074796263MaRDI QIDQ4864210

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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

zbMATH Keywords

outliersasymptotic distributioncausality testsautoregressive moving average modelsresidual autocovariance estimateslagged relationsrobustified residual cross correlation tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Most stringent test of independence for time series ⋮ Testing for independence between functional time series ⋮ On robust testing for conditional heteroscedasticity in time series models ⋮ Ian McLeod’s Contribution to Time Series Analysis—A Tribute ⋮ Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series ⋮ On testing for independence between the innovations of several time series

Cites Work

• Causality in temporal systems. Characterizations and a Survey
• Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
• 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
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• Unnamed Item

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