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Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - 2001

determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …

Persistent link: https://www.econbiz.de/10010324976

Tests for Serial Independence and Linearity based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - Tinbergen Institute - 2001

determined with a permutation procedure and a parametric bootstrap in the tests for serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statistics are …

Persistent link: https://www.econbiz.de/10005504907

Tests for serial independence and linearity based on correlation integrals

Diks, Cees G. H.; Manzan, Sebastiano - 2001

Persistent link: https://www.econbiz.de/10011317443

Tests for Serial Independence and Linearity Based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 2, pp. 1005-1005

We propose information theoretic tests for serial independence and linearity in time series against nonlinear … statistics is determined by means of bootstrap methods. The size and power properties of the tests are examined by simulation and …

Persistent link: https://www.econbiz.de/10004966146

Tests for Serial Independence and Linearity Based on Correlation Integrals

Diks, Cees; Manzan, Sebastiano - In: Studies in Nonlinear Dynamics & Econometrics 6 (2002) 2, pp. 1005-1005

Persistent link: https://www.econbiz.de/10005246259

Rank-based Entropy Tests for Serial Independence

Diks, Cees; Panchenko, Valentyn - In: Studies in Nonlinear Dynamics & Econometrics 12 (2008) 1, pp. 1476-1476

In nonparametric tests for serial independence the marginal distribution of the data acts as an infinite dimensional nuisance parameter. The decomposition of joint distributions in terms of a copula density and marginal densities shows that in general empirical marginals carry no information on...

Persistent link: https://www.econbiz.de/10005751378

Monotonicity-constrained nonparametric estimation and inference for first-price auctions

Ma, Jun; Marmer, Vadim; Shneyerov, Artyom; Pai Xu - In: Econometric reviews 40 (2021) 10, pp. 944-982

Persistent link: https://www.econbiz.de/10012624567

Resampling methods for homogeneity tests of covariance matrices

Zhu, L; Ng, KW; Jing, P - 2002

. Three resampling techniques for calculating -values are shown to be asymptotically valid: bootstrap, random symmetrization … and permutation. Monte Carlo simulations show that the bootstrap performs less satisfactorily than the others in adhering … suggest that the homogeneity tests proposed in this article performs better than the bootstrap version of Bartlett's test. …

Persistent link: https://www.econbiz.de/10009471477

Co-movement of revenue: structural changes in the business cycle

Erdorf, Stefan; Heinrichs, Nicolas - In: Financial Markets and Portfolio Management 25 (2011) 4, pp. 411-433

Persistent link: https://www.econbiz.de/10010863279

Testing spatial autocorrelation in weighted networks: the modes permutation test

Bavaud, François - In: Journal of Geographical Systems 15 (2013) 3, pp. 233-247

for ordinary permutation and bootstrap tests of spatial autocorrelation. We propose an alternative permutation test for …

Persistent link: https://www.econbiz.de/10010867916