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A Generalized Portmanteau Test For Independence Between Two Stationary Time Series

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  • Shao, Xiaofeng

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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  • Shao, Xiaofeng, 2009. "A Generalized Portmanteau Test For Independence Between Two Stationary Time Series," Econometric Theory, Cambridge University Press, vol. 25(1), pages 195-210, February.
    • Handle: RePEc:cup:etheor:v:25:y:2009:i:01:p:195-210_09
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    Cited by:

    1. Guochang Wang & Wai Keung Li & Ke Zhu, 2018. "New HSIC-based tests for independence between two stationary multivariate time series," Papers 1804.09866, arXiv.org.
    2. Andersen, Torben G. & Varneskov, Rasmus T., 2022. "Testing for parameter instability and structural change in persistent predictive regressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 361-386.
    3. Torben G. Andersen & Rasmus T. Varneskov, 2018. "Consistent Inference for Predictive Regressions in Persistent VAR Economies," CREATES Research Papers 2018-09, Department of Economics and Business Economics, Aarhus University.
    4. Andersen, Torben G. & Varneskov, Rasmus T., 2021. "Consistent inference for predictive regressions in persistent economic systems," Journal of Econometrics, Elsevier, vol. 224(1), pages 215-244.
    5. Hao, Jing & He, Feng, 2018. "Univariate dependence among sectors in Chinese stock market and systemic risk implication," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 510(C), pages 355-364.

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