Tests for non-correlation of two cointegrated ARMA time series

Journal of Time Series Analysis

Volumn 24, Issue 5, 2003, Pages 553-577

  Pham, Dinh Tuan ^a   Roy, Roch ^a   Cédras, Lyne ^a  

^a UNIV GRENOBLE ALPES   (France)

Author keywords

Co integration; Independence tests; Innovation; Partially nonstationary; Residual cross correlation

Indexed keywords

EID: 0141689056     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00322     Document Type: Article

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