Hong, Yongmiao - In: Annals of Economics and Finance 2 (2001) 1, pp. 123-164
This paper proposes an asymptotic one-sided N(0, 1) test for independence between two stationary time series using the empirical characteristic function. Unlike the tests based on the cross-correlation function (e.g. Haugh, 1976; Hong, 1996; Koch & Yang 1986), the proposed test has power against all...