Information-Theoretic Analysis of Serial Dependence and Cointegration

Aparicio F. M. () and Alvaro Escribano
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Aparicio F. M.: Universidad Carlos III de Madrid, Universidad Carlos III de Madrid

Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 3, issue 3, 24

Abstract: This paper is devoted to presenting wider characterizations of memory and cointegration in time series, in terms of information-theoretic statistics such as the entropy and the mutual information between pairs of variables. We suggest a nonparametric and nonlinear methodology for data analysis and for testing the hypotheses of long memory and the existence of a cointegrating relationship in a nonlinear context. This new framework represents a natural extension of the linear-memory concepts based on correlations. Finally, we show that our testing devices seem promising for exploratory analysis with nonlinearly cointegrated time series.

Keywords: information-theoretic statistics; long memory; cointegration; nonlinearity (search for similar items in EconPapers)
Date: 1998
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Working Paper: Information-theoretic analysis of seral dependence and cointegration (1997)
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DOI: 10.2202/1558-3708.1044

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