Bouhaddioui, Chafik; Roy, Roch - Centre Interuniversitaire de Recherche en Analyse des … - 2004
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...