Test statistics for checking the independence between the innovations of several time series are developed. The time series models considered allow for general specifications for the conditional mean and variance functions that could depend on common explanatory variables. In testing for...

We consider robust serial correlation tests in autoregressive models with exogenous variables (ARX). Since the least squares estimators are not robust when outliers are present, a new family of estimators is introduced, called residual autocovariances for ARX (RA-ARX). They provide resistant...