Detection of non-linear structure in time series

Economics Letters

Volumn 105, Issue 1, 2009, Pages 1-6

  Matilla García, Mariano ^a   Ruiz Marín, Manuel ^b  

^a UNIVERSIDAD NACIONAL DE EDUCACIÓN A DISTANCIA   (Spain)

^b TECHNICAL UNIVERSITY OF CARTAGENA   (Spain)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 69349101946     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2009.04.014     Document Type: Article

References (7)

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3. Maasuomi E. A compendium to information theory in economics and econometrics. Econometric Reviews 12 2 (1993) 137-181
4. Matilla-Garcia M., and Ruiz M. A non-parametric independence test using permutation entropy. Journal of Econometrics 144 (2008) 139-155
5. Rohatgi V.K. An Introduction to Probability Theory and Mathematical Statistics (1976), John Wiley & Sons, New York
6. Tjøstheim D. Measures and tests of independence: a survey. Statistics 28 (1996) 249-284
7. Ullah A. Entropy, divergence and distance measures with econometric applications. Journal of Statistical Planning and Inference 49 (1996) 137-162