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Consistent Nonparametric Entropy-Based Testing

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Author Info
Robinson, P M

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Abstract

The Kullback-Leibler information criterion is used as a basis for one-sided testing of nested hypothesis. No distributional form is assumed, so nonparametric density estimation is used to form that test statistic. In order to obtain a normal null limiting distribution, a form of weighting is employed. The test is also shown to be consistent against a class of alternatives. The exposition focuses on testing for serial independence in time series, with a small application to testing the random walk hypothesis for exchange rate series, and tests of some other hypotheses of econometric interest are briefly described. Copyright 1991 by The Review of Economic Studies Limited.

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Publisher Info
Article provided by Blackwell Publishing in its journal Review of Economic Studies.

Volume (Year): 58 (1991)
Issue (Month): 3 (May)
Pages: 437-53
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Handle: RePEc:bla:restud:v:58:y:1991:i:3:p:437-53

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  2. Fernandes, Marcelo, 2001. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Economics Working Papers (Ensaios Economicos da EPGE) 413, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
  3. Cheng Hsiao & Qi Li & Jeff Racine, 2006. "A Consistent Model Specification Test with Mixed Discrete and Continuous Data," IEPR Working Papers 06.47, Institute of Economic Policy Research (IEPR). [Downloadable!]
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  4. Patrick Marsh, . "Nonparametric Likelihood Ratio Tests," Discussion Papers 00/56, Department of Economics, University of York. [Downloadable!]
  5. Oliver Linton & Pedro Gozalo, 1996. "Conditional Independence Restrictions: Testing and Estimation," Cowles Foundation Discussion Papers 1140, Cowles Foundation, Yale University. [Downloadable!]
  6. C. W. Granger & Esfandiar Maasoumi, 2000. "A Dependence Metric for Nonlinear Time Series," Econometric Society World Congress 2000 Contributed Papers 0421, Econometric Society. [Downloadable!]
  7. Matos, Joao Amaro de & Fernandes, Marcelo, 2004. "Testing the Markov property with ultra-high frequency financial data," FEUNL Working Paper Series wp462, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
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  8. Kyoo il Kim, 2006. "Uniform Convergence Rate of the SNP Density Estimator and Testing for Similarity of Two Unknown Densities," Working Papers 20-2006, Singapore Management University, School of Economics. [Downloadable!]
  9. Arthur Lewbel, 2000. "Asymptotic Trimming for Bounded Density Plug-in Estimators," Boston College Working Papers in Economics 479, Boston College Department of Economics, revised 30 Oct 2000. [Downloadable!]
  10. Liangjun Su & Halbert White, 2003. "A Consistent Characteristic-Fuction-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series 2003-11, Department of Economics, UC San Diego. [Downloadable!]
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  11. Halbert White & Yongmiao Hong, 1999. "M-Testing Using Finite and Infinite Dimensional Parameter Estimators," University of California at San Diego, Economics Working Paper Series 93-01r, Department of Economics, UC San Diego. [Downloadable!]
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  12. Yanqin Fan & Qi Li, 2002. "A Consistent Model Specification Test Based On The Kernel Sum Of Squares Of Residuals," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 337-352. [Downloadable!] (restricted)
  13. Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute. [Downloadable!]
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  14. José Bernardo, 2005. "Intrinsic credible regions: An objective Bayesian approach to interval estimation," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 14(2), pages 317-384, December. [Downloadable!] (restricted)
  15. Ignacio Olmeda & Joaquin Pérez, 1995. "Non-linear dynamics and chaos in the Spanish stock market," Investigaciones Economicas, Fundación SEPI, vol. 19(2), pages 217-248, May. [Downloadable!]
  16. Liangjun Su & Halbert White, 2004. "Testing Conditional Independence Via Empirical Likelihood," University of California at San Diego, Economics Working Paper Series 2003-14, Department of Economics, UC San Diego. [Downloadable!]
  17. Javier Hidalgo, 1999. "Nonparametric tests for model selection with time series data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(2), pages 365-398, December. [Downloadable!] (restricted)
  18. McCausland, William, 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
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  19. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  20. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics. [Downloadable!]
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