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Information-Theoretic Analysis of Serial Dependence and Cointegration

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1998
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Berkeley Electronic Press
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This 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.
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Studies in Nonlinear Dynamics & Econometrics, 1998, vol.3, nº 3, p. 119-140