A Frequency-domain Based Test for Non-correlation between Stationary Time Series |
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Authors: | Michael Eichler |
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Institution: | (1) Department of Quantitative Economics, University of Maastricht, P.O.Box 616, 6200, MD, Maastricht, The Netherlands |
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Abstract: | A one-sided asymptotically normal test for non-correlation between two stationary time series is proposed based on the spectral
coherence function. The test statistic is a properly standardized version of the integrated spectral coherency and has similar
asymptotic properties as a previously introduced time domain based test for non-correlation. Unlike its time domain counterpart,
the proposed test does not require prewhitening of the time series and, thus, is a truly nonparametric test for non-correlation.
In a simulation study, we evaluate the small sample performance of the proposed test in comparison with the time domain test
and address the problem of bandwidth selection. Furthermore, we present a modification of the test statistic that allows to
test for non-correlation over frequency bands. This version shows higher power of detecting interrelationships restricted
to the frequency band of interest.
This work has been carried out at the Institute of Applied Mathematics at the University of Heidelberg and partly while the
author was visiting the Department of Statistics at the University of Chicago. |
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Keywords: | Multivariate time series Non-correlation Spectral coherence Nonparametric test Bandwidth selection |
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