Statistical test for Multiple Detrended Cross-Correlation Coefficient

A.M. da Silva Filho, G.F. Zebende, A.P.N. de Castro and E.F. Guedes

Physica A: Statistical Mechanics and its Applications, 2021, vol. 562, issue C

Abstract: In this paper, we proposed a statistical test for the Multiple Detrended Correlation Coefficient DMCx2. The DMCx2 is a measure of total association between the dependent variable, Y, with other p independent variables, X all with the same length N. DMCx2 is based on the generalization of the ρ(Xi,Xj) cross-correlation coefficient. With this methodology, it is possible to evaluate the statistical significance of DMCx2 for different levels confidence. Findings on this research show that rejection or non-rejection of the null hypothesis of DMCx2 also depends on the size N of the series and the time scale n evaluated. Our findings also show a behavior pattern in the critical values of DMCx2. Fixing the size of the series (N), as the size of the time scale n increases, the critical values tend to increase.

Keywords: Cross-correlation; DMC coefficient; Econometry; Statistical test; Times series (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:562:y:2021:i:c:s0378437120306786

DOI: 10.1016/j.physa.2020.125285

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