A versatile and robust metric entropy test of time-reversibility, and other hypotheses

DOI10.1016/J.JECONOM.2006.05.009zbMATH Open1418.62349OpenAlexW2034543182MaRDI QIDQ280218FDOQ280218

Jeffrey S. Racine, Esfandiar Maasoumi

Publication date: 9 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.009

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zbMATH Keywords

densitytime serieskernelnonparametricinformation-theoretic

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• A test for independence based on the correlation dimension
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Title not available (Why is that?)
• The Stationary Bootstrap
• On Estimation of a Probability Density Function and Mode
• A consistent test for conditional symmetry in time series models
• On a measure of lack of fit in time series models
• Information and entropy econometrics -- editor's view.
• Entropy and predictability of stock market returns.
• Likelihood of a model and information criteria
• A single-blind controlled competition among tests for nonlinearity and chaos
• Comparison of maximum entropy and higher-order entropy estimators.
• Testing time reversibility without moment restrictions
• Kernel-based nonlinear canonical analysis and time reversibility
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
• Testing Serial Independence against Time Irreversibility
• On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
• Time-reversibility of linear stochastic processes
• Title not available (Why is that?)
• A Dependence Metric for Possibly Nonlinear Processes
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Consistent Nonparametric Entropy-Based Testing

Cited In (14)

• Mixtures of equispaced normal distributions and their use for testing symmetry with univariate data
• Assessing Time-Reversibility Under Minimal Assumptions
• Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
• A nonparametric test for equality of distributions with mixed categorical and continuous data
• An efficient integrated nonparametric entropy estimator of serial dependence
• Estimation of characteristics of randomized static models of data (entropy-robust approach)
• Estimating the characteristics of randomized dynamic data models (the entropy-robust approach)
• A copula spectral test for pairwise time reversibility
• Peaks, gaps, and time‐reversibility of economic time series
• Testing serial independence via density-based measures of divergence
• Randomized machine learning procedures
• Mathematical methods of randomized machine learning
• Bootstrap-assisted tests of symmetry for dependent data
• TIME IRREVERSIBLE COPULA-BASED MARKOV MODELS

Uses Software

• R

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