A Simple Nonparametric Test for Independence

A stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.

MoreLess

Year of publication:	1995-01-15
Authors:	Mizrach, Bruce
Institutions:	Department of Economics, Rutgers University-New Brunswick
Subject:	nonlinear dependence \| U-statistics

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005800354