A Test for Serial Dependence Using Neural Networks
Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises serially dependent processes using a generalisation of the autocorrelation function. Using this fact we build dependence tests that make use of neural network based approximations. We derive the theoretical properties of our tests and show that they have superior power properties. Our Monte Carlo evaluation supports the theoretical findings. An application to a large dataset of stock returns illustrates the usefulness of the proposed tests.
|Date of creation:||Oct 2007|
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- Fernandes, Marcelo, 2001.
"Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes,"
Economics Working Papers (Ensaios Economicos da EPGE)
413, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Marcelo Fernandes & Breno Neri, 2010. "Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes," Econometric Reviews, Taylor & Francis Journals, vol. 29(3), pages 276-306.
- repec:att:wimass:9520 is not listed on IDEAS
- George Kapetanios & Andrew P. Blake, 2007. "Boosting Estimation of RBF Neural Networks for Dependent Data," Working Papers 588, Queen Mary University of London, School of Economics and Finance.
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