Diks, Cees; Manzan, Sebastiano - In: Studies in Nonlinear Dynamics & Econometrics 6 (2007) 2, pp. 1005-1005
We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the...