A generalized portmanteau test for independence between two stationary time series created by Xiaofeng Shao

By:

Shao, Xiaofeng [author]

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 1Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Time series analysis -- Statistical test

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: 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 the paper by Chen and Deo (2004, Econometric Theory 20, 382–416), who extended the applicability of the portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic standard normal distributions of the proposed statistics are derived under fairly mild conditions. In particular, each time series is allowed to possess short memory, long memory, or antipersistence. A simulation study shows that the tests have reasonable size and power properties.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.1 (pages 162-194)	SP3256	Not for loan	For In House Use Only

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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 the paper by Chen and Deo (2004, Econometric Theory 20, 382–416), who extended the applicability of the portmanteau goodness-of-fit test to the long memory case. Under the null hypothesis of independence, the asymptotic standard normal distributions of the proposed statistics are derived under fairly mild conditions. In particular, each time series is allowed to possess short memory, long memory, or antipersistence. A simulation study shows that the tests have reasonable size and power properties.

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