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

DOI10.1016/j.jeconom.2006.05.009zbMath1418.62349OpenAlexW2034543182MaRDI QIDQ280218

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

time seriesdensitykernelnonparametricinformation-theoretic

Mathematics Subject Classification ID

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

Related Items (13)

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

Uses Software

• R

Cites Work

• Unnamed Item
• Unnamed Item
• Likelihood of a model and information criteria
• A single-blind controlled competition among tests for nonlinearity and chaos
• Generalized autoregressive conditional heteroscedasticity
• Information and entropy econometrics -- editor's view.
• Comparison of maximum entropy and higher-order entropy estimators.
• Entropy and predictability of stock market returns.
• Testing time reversibility without moment restrictions
• Kernel-based nonlinear canonical analysis and time reversibility
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• 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
• On a measure of lack of fit in time series models
• The Stationary Bootstrap
• A test for independence based on the correlation dimension
• A Dependence Metric for Possibly Nonlinear Processes
• Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
• On Estimation of a Probability Density Function and Mode
• Consistent Nonparametric Entropy-Based Testing
• A consistent test for conditional symmetry in time series models

This page was built for publication: A versatile and robust metric entropy test of time-reversibility, and other hypotheses