A Comparison of Tests of the Independence of Two Covariance Stationary Time Series

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