Robust residual cross correlation tests for lagged relations in time series

DOI10.1080/00949659408811563MaRDI QIDQ4864210zbMATH OpenOpenAlexFDO

Authors

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

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

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Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Causality in temporal systems. Characterizations and a Survey
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Distribution of the Residual Cross-Correlation in Univariate ARMA Time Series Models
• Identification of Dynamic Regression (Distributed Lag) Models Connecting Two Time Series
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

Cited in

(8)

• Ian McLeod’s Contribution to Time Series Analysis—A Tribute
• Testing for independence between functional time series
• scientific article; zbMATH DE number 2015218 (Why is no real title available?)
• 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
• scientific article; zbMATH DE number 3965273 (Why is no real title available?)
• Most stringent test of independence for time series

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