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Testing for independence between functional time series

Lajos Horvath and Gregory Rice

Journal of Econometrics, 2015, vol. 189, issue 2, 371-382

Abstract: Frequently econometricians are interested in verifying a relationship between two or more time series. Such analysis is typically carried out by causality and/or independence tests which have been well studied when the data is univariate or multivariate. Modern data though is increasingly of a high dimensional or functional nature for which finite dimensional methods are not suitable. In the present paper we develop methodology to check the assumption that data obtained from two functional time series are independent. Our procedure is based on the norms of empirical cross covariance operators and is asymptotically validated when the underlying populations are assumed to be in a class of weakly dependent random functions which include the functional ARMA, ARCH and GARCH processes.

Keywords: Functional observations; Tests for independence; Weak dependence; Long run covariance function; Central limit theorem (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:2:p:371-382

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Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

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