Tests for Serial Independence and Linearity Based on Correlation Integrals

DOI10.2202/1558-3708.1005zbMATH Open1080.91563OpenAlexW3124884925MaRDI QIDQ3368293FDOQ3368293

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

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zbMATH Keywords

bootstrappermutation testlinearitynonlinear time series analysisserial 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)

Cited In (12)

• Identification of nonlinear VAR models using general conditional independence graphs
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses
• Conditional independence graph for nonlinear time series and its application to international financial markets
• Computer intensive testing for the influence between time series
• Testing dependence among serially correlated multicategory variables
• Nonparametric correlation integral-based tests for linear and nonlinear stochastic processes
• Prediction and independence
• Entropy testing for nonlinear serial dependence in time series
• Information-Theoretic Analysis of Serial Dependence and Cointegration
• Non parametric portmanteau tests for detecting non linearities in high dimensions
• Detecting direct nonlinearity of multivariate time series
• Local Gaussian Autocorrelation and Tests for Serial Independence

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