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A Dependence Metric for Possibly Nonlinear Processes

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Author Info
C. W. Granger
E. Maasoumi
J. Racine

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Abstract

A transformed metric entropy measure of dependence is studied which satisfies many desirable properties, including being a proper measure of distance. It is capable of good performance in identifying dependence even in possibly nonlinear time series, and is applicable for both continuous and discrete variables. A nonparametric kernel density implementation is considered here for many stylized models including linear and nonlinear MA, AR, GARCH, integrated series and chaotic dynamics. A related permutation test of independence is proposed and compared with several alternatives. Copyright 2004 Blackwell Publishing Ltd.

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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 25 (2004)
Issue (Month): 5 (09)
Pages: 649-669
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Handle: RePEc:bla:jtsera:v:25:y:2004:i:5:p:649-669

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  1. Cees Diks & Valentyn Panchenko, 2005. "Nonparametric Tests for Serial Independence Based on Quadratic Forms," Tinbergen Institute Discussion Papers 05-076/1, Tinbergen Institute. [Downloadable!]
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  2. Maasoumi, Esfandiar & Eren, Ozkan, 2006. "The Information Basis of Matching with Propensity Score," Departmental Working Papers 0606, Southern Methodist University, Department of Economics. [Downloadable!]
  3. Maasoumi, Esfandiar & Racine, Jeff, 2006. "Growth And Convergence: A Profile Of Distribution Dynamics And Mobility," Departmental Working Papers 0605, Southern Methodist University, Department of Economics. [Downloadable!]
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  4. Heather M. Anderson & Farshid Vahid, 2003. "Nonlinear Correlograms and Partial Autocorrelograms," Monash Econometrics and Business Statistics Working Papers 19/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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  5. Panchenko, V., 2004. "Goodness-of-fit test for copulas," CeNDEF Working Papers 04-16, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  6. Maasoumi, Esfandiar & Wang, Le, 2006. "Economic Reform, Growth and Convergence in China," Departmental Working Papers 0602, Southern Methodist University, Department of Economics. [Downloadable!]
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  7. Dionisio, Andreia & Menezes, Rui & Mendes, Diana & Vidigal Da Silva, Jacinto, 2007. "Nonlinear Dynamics Within Macroeconomic Factors And Stock Market In Portugal, 1993-2003," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 57-70. [Downloadable!] (restricted)
  8. Diks, C.G.H. & Panchenko, V., 2006. "Rank-based entropy tests for serial independence," CeNDEF Working Papers 06-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  9. Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Emory Economics 0806, Department of Economics, Emory University (Atlanta). [Downloadable!]
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  10. Heather M. Anderson, 2002. "Choosing Lag Lengths in Nonlinear Dynamic Models," Monash Econometrics and Business Statistics Working Papers 21/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
  11. Andreia Dionisio & Rui Menezes & Diana A. Mendes & Jacinto Vidigal da Silva, 2004. "Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors," Econometrics 0411018, EconWPA. [Downloadable!]
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This page was last updated on 2009-11-22.

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