Matilla-García, Mariano; Ruiz Marín, Manuel - In: Economics Letters 105 (2009) 1, pp. 1-6
In this paper we introduce a new method to detect lags in time series by using permutation entropy. The method is applied to several well-known dynamic processes. The good power performance of the new method in detecting memory structure/lags is notable and gives rise to an expectation that it...
