A Simple Nonparametric Test for Independence
A stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.
|Date of creation:||15 Jan 1995|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (732) 932-7482
Fax: (732) 932-7416
Web page: http://snde.rutgers.edu/Rutgers/wp/rutgers-wplist.html
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:rut:rutres:199523. 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 references are entirely missing, you can add them using this form.