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A Frequency-domain Based Test for Non-correlation between Stationary Time Series

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  • Michael Eichler

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  • Michael Eichler, 2007. "A Frequency-domain Based Test for Non-correlation between Stationary Time Series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 65(2), pages 133-157, February.
    • Handle: RePEc:spr:metrik:v:65:y:2007:i:2:p:133-157
    DOI: 10.1007/s00184-006-0065-8
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    References listed on IDEAS

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    1. repec:ulb:ulbeco:2013/2129 is not listed on IDEAS
    2. Marc Hallin & Abdessamad Saidi, 2005. "Testing Non‐Correlation and Non‐Causality between Multivariate ARMA Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 83-105, January.
    3. Kaizô I. BeltraTo & Peter Bloomfield, 1987. "Determining The Bandwidth Of A Kernel Spectrum Estimate," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(1), pages 21-38, January.
    4. Taniguchi, Masanobu & Puri, Madan L. & Kondo, Masao, 1996. "Nonparametric Approach for Non-Gaussian Vector Stationary Processes," Journal of Multivariate Analysis, Elsevier, vol. 56(2), pages 259-283, February.
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    Cited by:

    1. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    2. Dette, Holger & Hildebrandt, Thimo, 2012. "A note on testing hypotheses for stationary processes in the frequency domain," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 101-114, February.
    3. McElroy, Tucker & Holan, Scott, 2009. "A local spectral approach for assessing time series model misspecification," Journal of Multivariate Analysis, Elsevier, vol. 100(4), pages 604-621, April.

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