A new one-sided test for serial correlation in multivariate time series models is proposed. The test is based on a comparison between a multivariate spectral density estimator and the spectral density ...
This is a preview. Log in through your library . Abstract Here, we derive optimal rank-based tests for noncausality in the sense of Granger between two multivariate time series. Assuming that the ...
Some results have been hidden because they may be inaccessible to you
Show inaccessible results
Feedback