Giannerini, Simone; Maasoumi, Eefandiar; Dagum, Estela Bee - Department of Economics, Emory University - 2013
We propose a test for identification of nonlinear serial dependence in time series against the 15 general "null" of linearity, in contrast to the more widely examined null of "independence." The approach is based on a combination of an entropy dependence metric, possessing many desirable...
