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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - 2001
determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …
Persistent link: https://www.econbiz.de/10010324976
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Tests for serial independence and linearity based on correlation integrals
Diks, Cees G. H.; Manzan, Sebastiano - 2001
determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …
Persistent link: https://www.econbiz.de/10011317443
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Tests for Serial Independence and Linearity Based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - In: Studies in Nonlinear Dynamics & Econometrics 6 (2002) 2, pp. 1005-1005
We propose information theoretic tests for serial independence and linearity in time series against nonlinear … statistics is determined by means of bootstrap methods. The size and power properties of the tests are examined by simulation and …
Persistent link: https://www.econbiz.de/10005246259
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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - Tinbergen Institute - 2001
determined with a permutation procedure and a parametric bootstrap in the tests for serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statistics are …
Persistent link: https://www.econbiz.de/10005504907
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Tests for Serial Independence and Linearity based on Correlation Integrals
Diks, Cees; Manzan, Sebastiano - Tinbergen Instituut - 2001
determined with a permutation procedure and a parametric bootstrap in the testsfor serial independence and linearity …We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare …
Persistent link: https://www.econbiz.de/10011257371
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Rank-based Entropy Tests for Serial Independence
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...
Persistent link: https://www.econbiz.de/10005751378
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Resampling methods for homogeneity tests of covariance matrices
Zhu, L; Ng, KW; Jing, P - 2002
. Three resampling techniques for calculating -values are shown to be asymptotically valid: bootstrap, random symmetrization … and permutation. Monte Carlo simulations show that the bootstrap performs less satisfactorily than the others in adhering … suggest that the homogeneity tests proposed in this article performs better than the bootstrap version of Bartlett's test. …
Persistent link: https://www.econbiz.de/10009471477
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Testing spatial autocorrelation in weighted networks : the modes permutation test
Bavaud, François - In: Spatial econometric interaction modelling, (pp. 67-83). 2016
Persistent link: https://www.econbiz.de/10011529899
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Multivariate and multiple permutation tests
Chung, EunYi; Romano, Joseph P. - In: Journal of econometrics 193 (2016) 1, pp. 76-91
Persistent link: https://www.econbiz.de/10011704767
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Co-movement of Fundamentals: Structural Changes in the Business Cycle
Erdorf, Stefan; Heinrichs, Nicolas - Cologne Graduate School in Management, Economics and … - 2010
The co-movement of stocks and of fundamentals changes across the business cycle. Empirical studies have shown that the correlation of stock returns is stronger in crisis. We show that the correlation of fundamentals is the highest during crisis using a large sample of quarterly firm revenues...
Persistent link: https://www.econbiz.de/10008739723