Journal of the American Statistical Association volume 81, issue 394, P533-544 1986 DOI: 10.1080/01621459.1986.10478301 View full text
Paul D. Koch, Shie-Shien Yang

Abstract: The Haugh (1976) test for independence employs the univariate residual cross-correlation function. However, it ignores information about a possible pattern in successive cross-correlation coefficients. An asymptotic test is developed that incorporates this information and includes the Haugh test as a special case. A Monte Carlo study indicates that the proposed test is more powerful than the Haugh s and regression F tests for certain models. Two empirical examples are presented showing the simplicity of apply…

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