Detection of non-linear structure in time series

Mariano Matilla-García and Manuel Ruiz Marin

Economics Letters, 2009, vol. 105, issue 1, 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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Citations: View citations in EconPapers (13)

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