Testing for independence between two covariance stationary time series

Biometrika

Volumn 83, Issue 3, 1996, Pages 615-625

  Hong, Yongmiao ^a  

^a Department of Molecular Biology and Genetics   (United States)

Author keywords

Coherency; Cross correlation; Independence; Kernel function; Multivariate time series

Indexed keywords

EID: 0141465814     PISSN: 00063444     EISSN: None     Source Type: Journal    
DOI: 10.1093/biomet/83.3.615     Document Type: Article

References (17)

1. ANDREWS, D. W. K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817-58.
2. BAHADUR, R. R. (1960). Stochastic comparison of tests. Ann. Math. Statist. 31, 276-95.
3. BERK, K. N. (1974). Consistent autoregressive spectral estimates. Ann. Statist. 2, 489-502.
4. CHAN, N. H. & TRAN, L. T. (1992). Nonparametric tests for serial dependence. J. Time Ser. Anal. 13, 102-13.
5. GALLANT, A. R. & JORGENSON, D. (1979). Statistical inference for a system of simultaneous nonlinear implicit equations in the context of instrumental variables estimation. J. Economet. 11, 275-302.
6. GALLANT, A. R. & WHITE, H. (1988). A Unified Theory of Estimation and Inference for Nonlinear Dynamic Models. Oxford: Basil Blackwell.
7. GEWEKE, J. (1981a). The approximate slopes of econometric tests. Econometrica 49, 1427-42.
8. GEWEKE, J. (1981b). A comparison of tests of independence of two covariance stationary time series. J. Am. Statist. Assoc. 76, 363-73.
9. HAUGH, L. D. (1976). Checking the independence of two covariance-stationary time series: a univariate residual cross correlation approach. J. Am. Statist. Assoc. 71, 378-85.
10. HONG, Y. (1996). Consistent testing for serial correlation of unknown form. Econometrica 64, 837-64.
11. PIERCE, A. (1977). Lack of dependence among economic variables. J. Am. Statist. Assoc. 72, 11-22.
12. PITMAN, E. J. G. (1979). Some Basic Theory for Statistical Inference. London: Chapman Hall.
13. PRIESTLEY, M. B. (1962). Basic considerations in the estimation of spectra. Technometrics 4, 551-64.
14. PRIESTLEY, M. B. (1981). Spectral Analysis and Time Series, 1, 2. London: Academic Press.
15. ROBINSON, P. M. (1991). Consistent nonparametric entropy-based testing. Rev. Econ. Studies 58, 37-53.
16. SKAUG, H. J. & TJOSTHEIM, D. (1993a). A nonparametric test of serial independence based on the empirical distribution function. Biometrika 80, 591-602.
17. SKAUG, H. J. & TJOSTHEIM, D. (1993b). Nonparametric tests of serial independence. In Developments in Time Series Analysis, the M. B. Priestley Birthday Volume, Ed. T. Subba Rao, pp. 207-29. London: Academic Press.