Abstract: We propose novel one-sided omnibus tests for independence between two multivariate stationary time series. These new tests apply the Hilbert-Schmidt independence criterion (HSIC) to test the independence between the innovations of the time series. We establish the limiting null distributions of our HSIC-based tests under regular conditions. Next, our HSIC-based tests are shown to be consistent. A residual bootstrap method is used to obtain the critical values for the tests, and its validity is justified. Existing cross-correlation-based tests examine linear dependence. In contrast, our tests examine general dependence (including linear and non-linear), providing researchers with information that is more complete on the causal relationship between two multivariate time series. The merits of our tests are illustrated using simulations and a real-data example.

Key words and phrases: Hilbert-Schmidt independence criterion, multivariate time series models, non-linear dependence, residual bootstrap, testing for independence.