Hallin, Marc; Saidi, Abdessamad - In: Journal of Time Series Analysis 26 (2005) 1, pp. 83-105
Haugh [Journal of the American Statistical Association (1976) Vol. 71, pp. 378-85] developed an approach to the problem of testing non-correlation (at all leads and lags) between two univariate time series. Haugh's tests however have low power against two series which are related over a long...