A Comparison of Tests of the Independence of Two Covariance Stationary Time Series

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dc.contributor.author Geweke, John en_US
dc.contributor.editor en_US
dc.date.accessioned 2011-02-07T06:17:53Z
dc.date.available 2011-02-07T06:17:53Z
dc.date.issued 1981 en_US
dc.identifier 2008008397 en_US
dc.identifier.citation Geweke John 1981, 'A Comparison of Tests of the Independence of Two Covariance Stationary Time Series', American Statistical Association, vol. 76, no. 374, pp. 363-373. en_US
dc.identifier.issn 0162-1459 en_US
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/12996
dc.description.abstract Abstract: The approximate slopes of several tests of the independence of two covariance stationary time series are derived and compared. It is shown that the approximate slopes of regression tests are at least as great as those based on the residuals of univariate ARIMA models, and that there are cases in which the former are arbitrarily great while the latter are arbitrarily small. These analytical findings are supported by a Monte Carlo study that shows that in samples of size 100 and 250 the asymptotic distribution theory under the null hypothesis is adequate for all tests, but under alternatives to the null hypothesis the rate of Type II error for the test based on ARIMA model residuals is often more than double that of the regression tests. en_US
dc.language en_US
dc.publisher American Statistical Association en_US
dc.relation.isbasedon http://dx.doi.org/10.2307/2287837 en_US
dc.title A Comparison of Tests of the Independence of Two Covariance Stationary Time Series en_US
dc.parent Journal of the American Statistical Association en_US
dc.journal.volume 76 en_US
dc.journal.number 374 en_US
dc.publocation USA en_US
dc.identifier.startpage 363 en_US
dc.identifier.endpage 373 en_US
dc.cauo.name BUS.Faculty of Business en_US
dc.conference Verified OK en_US
dc.for 010405 en_US
dc.personcode 101228 en_US
dc.percentage 100 en_US
dc.classification.name Statistical Theory en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Independence; Time series; Tests; Approximate slopes; Monte Carlo en_US
dc.staffid 101228 en_US

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