Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
This article develops nonparametric tests of independence between two stochastic processes satisfying β-mixing conditions. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary densities. For that purpose, we take advantage of a generalized entropic measure so as to build a whole family of nonparametric tests of independence. We derive asymptotic normality and local power using the functional delta method for kernels. As a corollary, we also develop a class of entropy-based tests for serial independence. The latter are nuisance parameter free, and hence also qualify for dynamic misspecification analyses. We then investigate the finite-sample properties of our serial independence tests through Monte Carlo simulations. They perform quite well, entailing more power against some nonlinear AR alternatives than two popular nonparametric serial-independence tests.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 29 (2010)
Issue (Month): 3 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/LECR20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/LECR20|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Newey, Whitney K & West, Kenneth D, 1987.
"A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,"
Econometric Society, vol. 55(3), pages 703-08, May.
- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
- Phillips, P C B, 1991.
"Error Correction and Long-Run Equilibrium in Continuous Time,"
Econometric Society, vol. 59(4), pages 967-80, July.
- Tom Doan, . "PHILLIPSHANNAN: RATS procedure to compute Phillips-Hannan Efficient estimator for multivariate regressions," Statistical Software Components RTS00158, Boston College Department of Economics.
- Peter C.B. Phillips, 1988. "Error Correction and Long Run Equilibrium in Continuous Time," Cowles Foundation Discussion Papers 882R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, 05.
- Baeck, E.G. & Brock, W.A., 1992. "A Nonparametric Test for Independence of a Multivariate Time Series," Working papers 9204, Wisconsin Madison - Social Systems.
- P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 437-453.
- Bruce Mizrach, 1995. "A Simple Nonparametric Test for Independence," Departmental Working Papers 199523, Rutgers University, Department of Economics.
- Hallin, M. & Puri, M.L., 1992.
"Rank Tests for Time Series Analysis , A Survey,"
9210, Universite Libre de Bruxelles - C.E.M.E..
- Zheng, John Xu, 2000. "A Consistent Test Of Conditional Parametric Distributions," Econometric Theory, Cambridge University Press, vol. 16(05), pages 667-691, October.
- Marc Hallin & Jana Jureckova & Jan Picek & Toufik Zahaf, 1999. "Nonparametric tests of independence between two autoregressive series based on autoregression rank scores," ULB Institutional Repository 2013/2081, ULB -- Universite Libre de Bruxelles.
- Drost, F.C. & Werker, B.J.M., 1993.
"A Note on Robinson's Test of Independence,"
9315, Tilburg - Center for Economic Research.
- Donald W.K. Andrews, 1988.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Cowles Foundation Discussion Papers
877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Andrews, Donald W K, 1991. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Econometrica, Econometric Society, vol. 59(3), pages 817-58, May.
- Gregory, Allan W & Sampson, Michael J, 1991. "Testing Long-Run Properties of Stationary Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(3), pages 287-95, July.
- Yanqin Fan & Oliver Linton, 1997. "Some Higher Order Theory for a Consistent Nonparametric Model Specification Test," Cowles Foundation Discussion Papers 1148, Cowles Foundation for Research in Economics, Yale University.
- Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
When requesting a correction, please mention this item's handle: RePEc:taf:emetrv:v:29:y:2010:i:3:p:276-306. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.