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

DOI10.1016/J.JECONOM.2006.05.009MaRDI QIDQ280218zbMATH OpenOpenAlexFDO

Authors 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

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)

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Cites work

• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 1069593 (Why is no real title available?)
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• A single-blind controlled competition among tests for nonlinearity and chaos
• A test for independence based on the correlation dimension
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• Comparison of maximum entropy and higher-order entropy estimators.
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
• Consistent Nonparametric Entropy-Based Testing
• Entropy and predictability of stock market returns.
• Generalized autoregressive conditional heteroscedasticity
• Information and entropy econometrics -- editor's view.
• Kernel-based nonlinear canonical analysis and time reversibility
• Likelihood of a model and information criteria
• On Estimation of a Probability Density Function and Mode
• On a measure of lack of fit in time series models
• On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
• Testing Serial Independence against Time Irreversibility
• Testing time reversibility without moment restrictions
• Tests for Serial Independence and Linearity Based on Correlation Integrals
• The Stationary Bootstrap
• Time-reversibility of linear stochastic processes

Cited in

(17)

• Mixtures of equispaced normal distributions and their use for testing symmetry with univariate data
• Variance of entropy for testing time-varying regimes with an application to meme stocks
• A nonparametric test for equality of distributions with mixed categorical and continuous data
• Estimation of characteristics of randomized static models of data (entropy-robust approach)
• Estimating the characteristics of randomized dynamic data models (the entropy-robust approach)
• An efficient integrated nonparametric entropy estimator of serial dependence
• Tests for time reversibility: a complementarity analysis
• Time reversibility tests of volume-volatility dynamics for stock returns
• A copula spectral test for pairwise time reversibility
• Testing serial independence via density-based measures of divergence
• Peaks, gaps, and time‐reversibility of economic time series
• Time irreversible copula-based Markov models
• Randomized machine learning procedures
• Mathematical methods of randomized machine learning
• Assessing time-reversibility under minimal assumptions
• Nonparametric entropy-based tests of independence between stochastic processes
• Bootstrap-assisted tests of symmetry for dependent data

Describes a project that uses

Uses Software

• R

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