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|
|Contact details of provider:|| Postal: London E1 4NS|
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Web page: http://www.econ.qmul.ac.uk
More information through EDIRC
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.:
- 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).
- 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.
- Brock, W.A. & Dechert, W.D. & LeBaron, B. & Scheinkman, J.A., 1995. "A Test for Independence Based on the Correlation Dimension," Working papers 9520, 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:wp609. 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: (Nicholas Owen)
If references are entirely missing, you can add them using this form.