Matsuda, Yasumasa; Yajima, Yoshihiro - In: Journal of Time Series Analysis 25 (2004) 4, pp. 501-528
We propose a test for separability of the correlation structure of a multivariate time series. We construct test statistics based on a spectral density matrix estimated in a nonparametric way and derive their asymptotic properties. We use simulation to check the performance in finite samples....