Information theoretic tests for serial independence and linearity in time series are proposed. The conditional mutual information is used as a test statistic and estimated nonparametrically using the correlation integral from chaos theory. An advantage of this approach is, that in case of...

Much of the US inflation forecasting literature deals with examining the ability of macroeconomic indicators to predict the mean of future inflation, and the overwhelming evidence suggests that the macroeconomic indicators provide little or no predictability. In this paper, we expand the scope...

The evaluation of the impact of an increase in gasoline tax on demand relies crucially on the estimate of the price elasticity. This paper presents an extended application of the Partially Linear Additive Model (PLAM) to the analysis of gasoline demand using a panel of US households, focusing...

This short paper is a comment on ``Testing for Nonlinear Structure and Chaos in Economic Time Series'' by Catherine Kyrtsou and Apostolos Serletis. We summarize their main results and discuss some of their conclusions concerning the role of outliers and noisy chaos. In particular, we include...

This discussion paper led to a publication in the <I>Journal of Economic Dynamics and Control</I>. Volume 31(6), pp. 1938-1970.<P> We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all...</p></i>

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...