Entropy Testing for Nonlinearity in Time Series
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References listed on IDEAS
- Marcelo Fernandes & Breno Neri, 2010.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
Taylor & Francis Journals, vol. 29(3), pages 276-306.
- Fernandes, Marcelo, 2001. "Nonparametric entropy-based tests of independence between stochastic processes," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 413, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Esfandiar Maasoumi & Jeffrey Racine, 2009.
"A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes,"
Taylor & Francis Journals, vol. 28(1-3), pages 246-261.
- Esfandiar Maasoumi & Jeffrey S. Racine, 2008. "A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes," Emory Economics 0806, Department of Economics, Emory University (Atlanta).
- P. M. Robinson, 1991. "Consistent Nonparametric Entropy-Based Testing," Review of Economic Studies, Oxford University Press, vol. 58(3), pages 437-453.
- C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
- Yongmiao Hong & Halbert White, 2005. "Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence," Econometrica, Econometric Society, vol. 73(3), pages 837-901, May.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, number 8355.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-18 (All new papers)
- NEP-ECM-2013-10-18 (Econometrics)
- NEP-ETS-2013-10-18 (Econometric Time Series)
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