Detection of non-linear structure in time series

Matilla-García, Mariano and Manuel Ruiz Marín

Economics Letters, 2009, vol. 105, issue 1, pages 1-6

Abstract: In this paper we introduce a new method to detect lags in time series by using permutation entropy. The method is applied to several well-known dynamic processes. The good power performance of the new method in detecting memory structure/lags is notable and gives rise to an expectation that it may form a suitable basis for constructive specification searches.

Date: 2009

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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecolet:v:105:y:2009:i:1:p:1-6

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