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Information-Theoretic Analysis of Serial Dependence and Cointegration

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dc.affiliation.dptoUC3M. Departamento de Economíaes
dc.contributor.authorAparicio, Felipe M.
dc.contributor.authorEscribano, Álvaro
dc.date.accessioned2009-02-17T16:58:31Z
dc.date.available2009-02-17T16:58:31Z
dc.date.issued1998
dc.description.abstractThis paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of information-theoretic statistics such as the entropy and the mutual information between pairs of variables. We suggest a nonparametric and nonlinear methodology for data analysis and for testing the hypotheses of long memory and the existence of a cointegrating relationship in a nonlinear context. This new framework represents a natural extension of the linear-memory concepts based on correlations. Finally, we show that our testing devices seem promising for exploratory analysis with nonlinearly cointegrated time series.
dc.description.statusPublicado
dc.format.mimetypetext/plain
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationStudies in Nonlinear Dynamics & Econometrics, 1998, vol.3, nº 3, p. 119-140
dc.identifier.issn1558-3708
dc.identifier.urihttp://hdl.handle.net/10016/2560
dc.language.isoeng
dc.language.isoeng
dc.publisherBerkeley Electronic Press
dc.relation.publisherversionhttp://www.bepress.com/snde/vol3/iss3/art1
dc.rights© The Berkeley Electronic Press
dc.rights.accessRightsopen access
dc.subject.ecienciaEconomía
dc.titleInformation-Theoretic Analysis of Serial Dependence and Cointegration
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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