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. For more information about JSTOR, please contact .Biometrika Trust is collaborating with JSTOR to digitize, preserve and extend access to This content downloaded from on Fri, 22 Nov 2013 14:17:02 PMAll use subject to JSTOR Terms and ConditionsBiometrika (1996), 83, 3, pp. 615-625 Printed in Great Britain Testing for Independence Between two Covariance stationary time series BY YONGMIAO HONG Department of Economics, Cornell University, Ithaca, New York 14853, SUMMARY A one-sided asymptotically normal test for Independence Between two stationary time series is proposed by first prewhitening the two time series and then basing the test on the residual cross-correlation function.

Biometrika (1996), 83, 3, pp. 615-625 Printed in Great Britain Testing for independence between two covariance stationary time series BY YONGMIAO HONG Department of Economics, Cornell University, Ithaca, New York 14853, U.S.A.

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  Series, Time, Between, Independence, Stationary, Covariance, Independence between two covariance, Independence between two covariance stationary time series

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