A Frequency-domain Based Test for Non-correlation between Stationary Time Series

A one-sided asymptotically normal test for non-correlation between two stationary time series is proposed based on the spectral coherence function. The test statistic is a properly standardized version of the integrated spectral coherency and has similar asymptotic properties as a previously introduced time domain based test for non-correlation. Unlike its time domain counterpart, the proposed test does not require prewhitening of the time series and, thus, is a truly nonparametric test for non-correlation. In a simulation study, we evaluate the small sample performance of the proposed test in comparison with the time domain test and address the problem of bandwidth selection. Furthermore, we present a modification of the test statistic that allows to test for non-correlation over frequency bands. This version shows higher power of detecting interrelationships restricted to the frequency band of interest.