Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series

DOI10.1111/j.1467-9892.2005.00391.xzbMath1092.62085OpenAlexW2030153618MaRDI QIDQ5467594

Abdessamad Saidi, Marc Hallin

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00391.x

zbMATH Keywords

Granger causalityARMA modelsmultiple time seriesnon-correlation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

Related Items (12)

A frequency-domain based test for non-correlation between stationary time series ⋮ Most stringent test of independence for time series ⋮ Unnamed Item ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ A distance-based test of independence between two multivariate time series ⋮ A note on testing hypotheses for stationary processes in the frequency domain ⋮ Measures of Cross‐Dependence for Bidimensional Periodic AR(1) Model with α‐Stable Distribution ⋮ A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES ⋮ Testing nonparametric and semiparametric hypotheses in vector stationary processes ⋮ Consistent testing for non‐correlation of two cointegrated ARMA time series ⋮ On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications ⋮ A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series

Cites Work

• Unnamed Item
• Granger-causality in multiple time series
• Causality in temporal systems. Characterizations and a Survey
• Simplified conditions for noncausality between vectors in multivariate ARMA models
• Testing for independence between two covariance stationary time series
• Tests for noncorrelation of two multivariate ARMA time series

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