A Simple Nonparametric Test for Independence
AbstractA stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.
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Date of creation: 15 Jan 1995
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nonlinear dependence; U-statistics;
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- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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