On testing for separable correlations of multivariate time series

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. Copyright 2004 Blackwell Publishing Ltd.

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Year of publication:	2004
Authors:	Matsuda, Yasumasa ; Yajima, Yoshihiro
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 4, p. 501-528
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005676622