A generalized portmanteau test of independence between two stationary time series

Details A generalized portmanteau test of independence between two stationary time series A generalized portmanteau test of independence between two stationary time series

2008-10-13

arxiv.org/abs/0810.2276v1

Mathematics

Statistics Theory

39 pages, 4 tables

Scientific paper

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 Chen and Deo (2004, Econometric Theory 20, 382-416), who extended the applicability of 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 anti-persistence. A simulation study shows that the tests have reasonable size and power properties.

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