On testing for separable correlations of multivariate time series

Yasumasa Matsuda and Yoshihiro Yajima ()

Journal of Time Series Analysis, 2004, vol. 25, issue 4, 501-528

Abstract: Abstract. 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.

Date: 2004
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https://doi.org/10.1111/j.1467-9892.2004.01795.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:4:p:501-528

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