Asymptotic distribution theory for nonparametric entropy measures of serial dependence

Econometrica

Volumn 73, Issue 3, 2005, Pages 837-901

  Hong, Yongmiao ^a,b   White, Halbert ^c  

^a Department of Obstetrics Gynecology   (United States)

^b Tsinghua University   (China)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Density forecasts; Entropy; Invariance; Jackknife kernel; Nonlinear time series; Random walk; Serial dependence; Smoothed bootstrap

Indexed keywords

EID: 27744499929     PISSN: 00129682     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2005.00597.x     Document Type: Article

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