Tests for serial independence and linearity based on correlation integrals
We 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.
|Date of creation:||2001|
|Contact details of provider:|| Postal: Dept. of Economics and Econometrics, Universiteit van Amsterdam, Roetersstraat 11, NL - 1018 WB Amsterdam, The Netherlands|
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Web page: http://www.fee.uva.nl/cendef/
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References listed on IDEAS
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- P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 437-453.
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- Simon M. Potter, 1993. "A Nonlinear Approach to U.S. GNP," UCLA Economics Working Papers 693, UCLA Department of Economics.
- 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.
- Vidar Hjellvik & Qiwei Yao & Dag Tjostheim, 1998. "Linearity testing using local polynominal approximation," LSE Research Online Documents on Economics 6638, London School of Economics and Political Science, LSE Library.
- Tschernig, Rolf & Yang, Lijian, 1997. "Nonparametric lag selection for time series," SFB 373 Discussion Papers 1997,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes. Full references (including those not matched with items on IDEAS)