Consistent testing for non‐correlation of two cointegrated ARMA time series

DOI10.1002/cjs.5550350114zbMath1219.62141MaRDI QIDQ5421219

Abdessamad Saidi

Publication date: 22 October 2007

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cjs.5550350114

zbMATH Keywords

kernel function; cointegration; independence test; portmanteau statistics; multivariate autoregressive moving average model; residual cross-correlation matrices

Mathematics Subject Classification ID

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

62E20: Asymptotic distribution theory in statistics

62H15: Hypothesis testing in multivariate analysis

62M07: Non-Markovian processes: hypothesis testing

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