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...
