A comparison of tests of the independence of two covariance-stationary time series

Geweke, J

A comparison of tests of the independence of two covariance-stationary time series

Geweke, J

Permalink

Publication Type:: Journal Article
Citation:: Journal of the American Statistical Association, 1981, 76 (374), pp. 363 - 373
Issue Date:: 1981-01-01

Closed Access

	Filename	Description	Size
	2008008397OK.pdf		1.74 MB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Geweke, J	en_US
dc.date.issued	1981-01-01	en_US
dc.identifier.citation	Journal of the American Statistical Association, 1981, 76 (374), pp. 363 - 373	en_US
dc.identifier.issn	0162-1459	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12996
dc.description.abstract	The approximate slopes of several tests of the independence of two covariance stationary time series are derived and compared. It is shown that the approximate slopes of regression tests are at least as great as those based on the residuals of univariate ARIMA models, and that there are cases in which the former are arbitrarily great while the latter are arbitrarily small. These analytical findings are supported by a Monte Carlo study that shows that in samples of size 100 and 250 the asymptotic distribution theory under the null hypothesis is adequate for all tests, but under alternatives to the null hypothesis the rate of Type II error for the test based on ARIMA model residuals is often more than double that of the regression tests. © 1981, Taylor & Francis Group, LLC.	en_US
dc.relation.ispartof	Journal of the American Statistical Association	en_US
dc.relation.isbasedon	10.1080/01621459.1981.10477655	en_US
dc.subject.classification	Statistics & Probability	en_US
dc.title	A comparison of tests of the independence of two covariance-stationary time series	en_US
dc.type	Journal Article
utslib.citation.volume	374	en_US
utslib.citation.volume	76	en_US
utslib.for	010405 Statistical Theory	en_US
utslib.for	0104 Statistics	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	1603 Demography	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	closed_access
pubs.issue	374	en_US
pubs.publication-status	Published	en_US
pubs.volume	76	en_US

Abstract:

The approximate slopes of several tests of the independence of two covariance stationary time series are derived and compared. It is shown that the approximate slopes of regression tests are at least as great as those based on the residuals of univariate ARIMA models, and that there are cases in which the former are arbitrarily great while the latter are arbitrarily small. These analytical findings are supported by a Monte Carlo study that shows that in samples of size 100 and 250 the asymptotic distribution theory under the null hypothesis is adequate for all tests, but under alternatives to the null hypothesis the rate of Type II error for the test based on ARIMA model residuals is often more than double that of the regression tests. © 1981, Taylor & Francis Group, LLC.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/12996