A NONPARAMETRIC TEST FOR INDEPENDENCE OF A MULTIVARIATE TIME-SERIES

被引：23

作者：

BAEK, EG

BROCK, WA

机构：

[1] KOREA DEV INST,SEOUL 130012,SOUTH KOREA

[2] IOWA STATE UNIV SCI & TECHNOL,AMES,IA 50011

[3] UNIV WISCONSIN,DEPT ECON,MADISON,WI 53706

来源：

STATISTICA SINICA | 1992年 / 2卷 / 01期

关键词：

CHAOS; BDS TEST; DENKER-KELLER PROJECTION; U-STATISTIC; V-STATISTIC; VECTOR AUTOREGRESSIVE MODEL;

D O I：

暂无

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper develops a general nonparametric test for the null hypothesis that the vector of time series under scrutiny is temporally and cross sectionally independent. This test can be used to test the adequacy of a fitted model. We can diagnostically test a vector autoregressive model fitted to given data. This procedure is legitimate because the first order asymptotic distribution of the test statistic is robust with respect to the estimated residual vector.

引用

页码：137 / 156

页数：20

共 13 条

[1]

BAEK EG, 1988, THESIS U WISCONSIN M

[2]

BAEK EG, 1988, SSRI WP8816 U WISC D

[3] CHAOS - SIGNIFICANCE, MECHANISM, AND ECONOMIC APPLICATIONS [J].