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Model Based vs. Model Independent Tests for Cross-correlation
Jönköping International Business School, Sweden.ORCID iD: 0000-0002-3623-5034
2010 (English)In: Journal of Modern Applied Statistical Methods, ISSN 1538-9472, Vol. 9, no 1, 75-89 p.Article in journal (Refereed) Published
Abstract [en]

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.

Place, publisher, year, edition, pages
2010. Vol. 9, no 1, 75-89 p.
Keyword [en]
Cross correlation, residuals, lag window, hypothesis tests, Statistics, Statistik
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:lnu:diva-28552OAI: oai:DiVA.org:lnu-28552DiVA: diva2:643557
Available from: 2013-08-27 Created: 2013-08-27 Last updated: 2017-04-18Bibliographically approved

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Holgersson, ThomasKarlsson, Peter S.

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