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Testing for Independence Between Two Covariance …

Biometrika TrustTesting for Independence Between Two Covariance Stationary Time SeriesAuthor(s): Yongmiao HongSource: Biometrika, Vol. 83, No. 3 (Sep., 1996), pp. 615-625 Published by: Biometrika TrustStable URL: .Accessed: 22/11/2013 14:17 Your use of the JSTOR archive indicates your acceptance of the Terms & Conditions of Use, available at ..JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range ofcontent in a trusted digital archive. We use information technology and tools to increase productivity and facilitate new formsof scholarship.

616 YONGMIAO HONG that X, and Y, have an ARMA, autoregressive-moving average, representation, which, if misspecified, will invalidate the asymptotic distribution of the test statistic.

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