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Robert F. Engle · Sharon Kozicki·刊期 1993-10 · 卷 11(4)·Journal of Business & Economic Statistics已编入正刊
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This article introduces a class of statistical tests for the hypothesis that some feature that is present in each of several variables is common to them. Features are data properties such as serial correlation, trends, seasonality, heteroscedasticity, autoregressive conditional heteroscedasticity, and excess kurtosis. A feature is detected by a hypothesis test taking no feature as the null, and a common feature is detected by a test that finds linear combinations of…