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Nonparametric tests of independence between two autoregressive series based on autoregression rank scores

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  • Marc Hallin
  • Jana Jureckova
  • Jan Picek
  • Toufik Zahaf

Abstract

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Suggested Citation

  • Marc Hallin & Jana Jureckova & Jan Picek & Toufik Zahaf, 1999. "Nonparametric tests of independence between two autoregressive series based on autoregression rank scores," ULB Institutional Repository 2013/2081, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/2081
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    Cited by:

    1. Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
    2. Jana Jurečková & Olcay Arslan & Yeşim Güney & Jan Picek & Martin Schindler & Yetkin Tuaç, 2023. "Nonparametric tests in linear model with autoregressive errors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 86(4), pages 443-453, May.
    3. Dinh Tuan Pham & Roch Roy & Lyne Cédras, 2003. "Tests for non‐correlation of two cointegrated ARMA time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(5), pages 553-577, September.
    4. 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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