A Simple Nonparametric Test for Independence

Bruce Mizrach ()

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: A stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.

Keywords: nonlinear dependence; U-statistics (search for similar items in EconPapers)
JEL-codes: C14 (search for similar items in EconPapers)
Date: Written
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Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:199523

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