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.

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

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Series:	Working Paper ; 1995-23
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	875850766 [GVK] hdl:10419/94293 [Handle] RePEc:rut:rutres:199523 [RePEc]
Classification:	C14 - Semiparametric and Nonparametric Methods
Source:	EconStor

Persistent link: https://www.econbiz.de/10010334319