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A consistent nonparametric test for serial independence

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  • Pinkse, Joris
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    File URL: http://www.sciencedirect.com/science/article/B6VC0-3T2P4MR-1/2/f2f7268eb0bbde3155e51d1e57713480
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 84 (1998)
    Issue (Month): 2 (June)
    Pages: 205-231

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    Handle: RePEc:eee:econom:v:84:y:1998:i:2:p:205-231

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    Web page: http://www.elsevier.com/locate/jeconom

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    1. Rosenblatt, Murray & Wahlen, Bruce E., 1992. "A nonparametric measure of independence under a hypothesis of independent components," Statistics & Probability Letters, Elsevier, vol. 15(3), pages 245-252, October.
    2. Andrews, Donald W K, 1991. "Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models," Econometrica, Econometric Society, vol. 59(2), pages 307-45, March.
    3. Robinson, P M, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 437-53, May.
    4. Drost, F.C. & Werker, B.J.M., 1993. "A Note on Robinson's Test of Independence," Papers 9315, Tilburg - Center for Economic Research.
    5. Marc Hallin & Jean-François Ingenbleek & Madan L. Puri, 1984. "Linear serial rank tests for randomness against ARMA alternatives," ULB Institutional Repository 2013/2167, ULB -- Universite Libre de Bruxelles.
    6. Robinson, P M, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Wiley Blackwell, vol. 56(4), pages 511-34, October.
    7. Dufour, J.M., 1979. "Rank Tests for Serial Dependence," Cahiers de recherche 7815, Universite de Montreal, Departement de sciences economiques.
    8. Marc Hallin & Madan L. Puri, 1992. "Rank tests for time-series analysis: a survey," ULB Institutional Repository 2013/2229, ULB -- Universite Libre de Bruxelles.
    9. Pham, Tuan D. & Tran, Lanh T., 1985. "Some mixing properties of time series models," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 297-303, April.
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    Cited by:
    1. I.N. Lobato & N.E. Savin, 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Econometrics 9605004, EconWPA, revised 26 Sep 1996.
    2. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.
    3. Su, Liangjun & White, Halbert, 2003. "A Consistent Characteristic-Function-Based Test for Conditional Independence," University of California at San Diego, Economics Working Paper Series qt4dv0837f, Department of Economics, UC San Diego.
    4. Matilla-Garcia, Mariano, 2007. "A non-parametric test for independence based on symbolic dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 31(12), pages 3889-3903, December.
    5. Jin Seo Cho & Halbert White, 2009. "Generalized Runs Test for the IID Hypothesis," Discussion Paper Series 0913, Institute of Economic Research, Korea University.
    6. Amaro de Matos, Joao & Fernandes, Marcelo, 2007. "Testing the Markov property with high frequency data," Journal of Econometrics, Elsevier, vol. 141(1), pages 44-64, November.
    7. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    8. López-Hernández , Fernando A. & Artal-Tur, Andrés & Maté-Sánchez-Val, M. Luz, 2011. "Identifying nonlinear spatial dependence patterns by using non-parametric tests: Evidence for the European Union," Investigaciones Regionales, Asociación Española de Ciencia Regional, issue 21, pages 19-36.
    9. López, Fernando & Matilla-García, Mariano & Mur, Jesús & Marín, Manuel Ruiz, 2010. "A non-parametric spatial independence test using symbolic entropy," Regional Science and Urban Economics, Elsevier, vol. 40(2-3), pages 106-115, May.
    10. Matilla-Garci­a, Mariano & Ruiz Mari­n, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.

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