A generalized portmanteau test for independence of two infinite-order vector autoregressive series

Journal of Time Series Analysis

Volumn 27, Issue 4, 2006, Pages 505-544

  Bouhaddioui, Chafik ^a   Roy, Roch ^a  

^a UNIVERSITÉ DE MONTRÉAL   (Canada)

Author keywords

Asymptotic power; Consistency; Independence; Infinite order vector autoregressive process; Kernel function; Portmanteau statistic; Residual crosscorrelation

Indexed keywords

EID: 33745296168     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2006.00473.x     Document Type: Article

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