In many situations, we want to verify the existence of a relationship between multivariate time series. Here, we propose a semiparametric approach for testing the independence between two infinite order vector autoregressive (VAR()) series which is an extension of Hong's (1996a) univariate...

We study in a bivariate framework the statistical properties of the variance ratio test and t-statistic based on long period returns. Following Richardson and Stock (1989)with their approach K/T ¬ k, we show that the asymptotic distributions of those statistics are non-standard. Under the null...

We propose a semiparametric approach for testing orthogonality and causality between two infinite-order cointegrated vector autoregressive IVAR(1) series. The procedures considered can be viewed as extensions of classical methods proposed by Haugh (1976, JASA) and Hong (1996, Biometrika) for...

Most panel unit root tests are designed to test the joint null hypothesis of a unit root for each individual series in a panel. After a rejection, it will often be of interest to identify which series can be deemed to be stationary and which series can be deemed nonstationary. Researchers will...