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Information-Theoretic Analysis of Serial Dependence and Cointegration

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Author Info

  • Aparicio F. M.

    ()
    (Universidad Carlos III de Madrid)

  • Escribano A.

    ()
    (Universidad Carlos III de Madrid)

Abstract

This paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of information-theoretic statistics such as the entropy and the mutual information between pairs of variables. We suggest a nonparametric and nonlinear methodology for data analysis and for testing the hypotheses of long memory and the existence of a cointegrating relationship in a nonlinear context. This new framework represents a natural extension of the linear-memory concepts based on correlations. Finally, we show that our testing devices seem promising for exploratory analysis with nonlinearly cointegrated time series.

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File URL: http://www.degruyter.com/view/j/snde.1998.3.3/snde.1998.3.3.1044/snde.1998.3.3.1044.xml?format=INT
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Bibliographic Info

Article provided by De Gruyter in its journal Studies in Nonlinear Dynamics & Econometrics.

Volume (Year): 3 (1998)
Issue (Month): 3 (October)
Pages: 1-24

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Handle: RePEc:bpj:sndecm:v:3:y:1998:i:3:n:1

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Cited by:
  1. Felipe M. Aparicio & Alvaro Escribano, 2003. "Cointegration Tests Based On Record Counting Statistics," Statistics and Econometrics Working Papers ws036615, Universidad Carlos III, Departamento de Estadística y Econometría.
  2. Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute.
  3. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.
  4. Felipe M. Aparicio Acosta, 2003. "On The Record Properties Of Integrated Time Series," Statistics and Econometrics Working Papers ws036414, Universidad Carlos III, Departamento de Estadística y Econometría.
  5. G. Dufrenot & E. Grimaud & E. Latil & V. Mignon, 2003. "Real exchange rate misalignment in Hungary: a fractionally integrated threshold model," THEMA Working Papers 2003-07, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  6. Gilles DUFRENOT & Elisabeth GRIMAUD & Eug=E9nie LATIL & Val=E9rie MIGNON, 2003. "Real exhange rate misalignment in Hungary: a fractionally integrated=20 threshold model," Econometrics 0309001, EconWPA.
  7. Nikolaus A. Siegfried, 2002. "An information-theoretic extension to structural VAR modelling," Quantitative Macroeconomics Working Papers 20203, Hamburg University, Department of Economics.

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