Nonparametric entropy-based tests of independence between stochastic processes
Data(s) |
13/05/2008
23/09/2010
13/05/2008
23/09/2010
01/03/2001
|
---|---|
Resumo |
This paper develops nonparametric tests of independence between two stationary stochastic processes. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary densities. For that purpose, I take advantage of a generalized entropic measure so as to build a class of nonparametric tests of independence. Asymptotic normality and local power are derived using the functional delta method for kernels, whereas finite sample properties are investigated through Monte Carlo simulations. |
Identificador |
0104-8910 |
Idioma(s) |
en_US |
Publicador |
Escola de Pós-Graduação em Economia da FGV |
Relação |
Ensaios Econômicos;413 |
Palavras-Chave | #Independence #Nonparametric testing #Tsallis entropy #Economia #Processo estocastico |
Tipo |
Working Paper |