Tests for serial independence and linearity based on correlation integrals
AbstractWe propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights into the lags through which the dependence arises. The conditional mutual information is estimated using the correlation integral from chaos theory. The significance of the test statistic is determined with a permutation procedure and a parametric bootstrap in the tests for independence and linearity, respectively. The size and power properties of the tests are examined numerically and illustrated with applications to some benchmark time series.
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Bibliographic InfoPaper provided by Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance in its series CeNDEF Working Papers with number 01-02.
Date of creation: 2001
Date of revision:
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Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands
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Other versions of this item:
- Diks Cees & Manzan Sebastiano, 2002. "Tests for Serial Independence and Linearity Based on Correlation Integrals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(2), pages 1-22, July.
- Cees Diks & Sebastiano Manzan, 2001. "Tests for Serial Independence and Linearity based on Correlation Integrals," Tinbergen Institute Discussion Papers 01-085/1, Tinbergen Institute.
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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- Diks, C.G.H., 1999. "Consistent Testing for Serial Independence," CeNDEF Working Papers 99-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- repec:att:wimass:9520 is not listed on IDEAS
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"Rank-based Entropy Tests for Serial Independence,"
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