Model Based vs. Model Independent Tests for Cross-Correlation

被引：0
|
作者：
Holgersson, H. E. T. [1 ]
Karlsson, Peter S. [1 ]
机构：
[1] Jonkoping Int Business Sch, Stat, Jonkoping, Sweden
来源：
JOURNAL OF MODERN APPLIED STATISTICAL METHODS | 2010年 / 9卷 / 01期
关键词：
Cross correlation; residuals; lag window; hypothesis tests;
D O I：
10.22237/jmasm/1272686880
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
This article discusses the issue of whether cross correlation should be tested by model dependent or model independent methods. Several different tests are proposed and their main properties are investigated analytically and with simulations. It is argued that model independent tests should be used in applied work.
引用
收藏
页码：75 / 89
页数：15
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