A GENERALIZED PORTMANTEAU TEST FOR INDEPENDENCE BETWEEN TWO STATIONARY TIME SERIES
نویسندگان
چکیده
منابع مشابه
A Generalized Portmanteau Test for Independence between Two Stationary Time Series
We propose generalized portmanteau-type test statistics in the frequency domain to test independence between two stationary time series. The test statistics are formed analogous to the one in Chen and Deo (2004, Econometric Theory 20, 382-416), who extended the applicability of portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic st...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2009
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608090063