Information-Theoretic Analysis of Serial Dependence and Cointegration

DOI10.2202/1558-3708.1044zbMath1079.62539OpenAlexW2021019481MaRDI QIDQ3368230

Felipe M. Aparicio, Alvaro Escribano

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1044

zbMATH Keywords

nonlinearitycointegrationlong memoryinformation-theoretic statistics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

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