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Optimal Tests of Noncorrelation Between Multivariate Time Series

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  • Hallin, Marc
  • Saidi, Abdessamad

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  • Hallin, Marc & Saidi, Abdessamad, 2007. "Optimal Tests of Noncorrelation Between Multivariate Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 938-951, September.
    • Handle: RePEc:bes:jnlasa:v:102:y:2007:m:september:p:938-951
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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. Brandts, Jordi & El Baroudi, Sabrine & Huber, Stefanie J. & Rott, Christina, 2021. "Gender differences in private and public goal setting," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 222-247.
    3. Bramati, Maria Caterina, 2013. "Optimal rank-based tests for block exogeneity in vector autoregressions," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 141-162.
    4. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    5. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.

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