Tests for Serial Independence and Linearity Based on Correlation Integrals

DOI10.2202/1558-3708.1005MaRDI QIDQ3368293zbMATH OpenOpenAlexFDO

Authors

Publication date 27 January 2006

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

Full work available at URL http://cendef.uva.nl/binaries/content/assets/subsites/amsterdam-school-of-economics/amsterdam-school-of-economics-research-institute/cendef/working-papers-2001/diks-manzan.pdf?1417180290844

zbMATH Keywords

bootstraplinearitynonlinear time series analysispermutation testserial independence

Mathematics Subject Classification ID

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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• Information-Theoretic Analysis of Serial Dependence and Cointegration
• Entropy testing for nonlinear serial dependence in time series
• Nonparametric statistics for testing of linearity and serial independence
• A test for independence based on the correlation dimension
• Detecting direct nonlinearity of multivariate time series
• scientific article; zbMATH DE number 802770 (Why is no real title available?)
• Testing dependence among serially correlated multicategory variables
• Computer intensive testing for the influence between time series
• Identification of nonlinear VAR models using general conditional independence graphs
• Independence in time series: another look at the BDS test
• Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes

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