A Dependence Metric for Nonlinear Time Series

Clive W. J. Granger and Esfandiar Maasoumi
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Esfandiar Maasoumi: Southern Methodist University
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No 421, Econometric Society World Congress 2000 Contributed Papers from Econometric Society

Abstract: A transformed metric entropy measure of dependence is studied which satisfies several desirable properties and is capable of impressive performance in identifying nonlinear dependence in time series. The measure is applicable for both continuous and discrete variables. A nonparametric kernel density implementation is considered here for ten models including MA, AR, integrated series and chaotic dynamics.

Date: 2000-08-01
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