From Blake Sun Mar 19 17:27:57 2000
From: Blake LeBaron
To: OWNER-SNDE_L
Subject: Old working paper now published
Date: Wednesday, September 04, 1996 4:26PM
Status: RO
X-Status:
X-Keywords:
X-UID: 272
This paper has been in circulation as a working paper for nearly 10 years,
but it has finally come out:
A Test for Independence Based on the Correlation Dimension,
W. A. Brock,
W. D. Dechert,
J. A. Scheinkman,
B. LeBaron
Econometric Reviews 15(3), 197-235, 1996.
ABSTRACT:
This paper presents a test of independence that can be applied to the
estimated residuals of any time series model that can be transformed into a
model driven by independent and identically distributed errors. The first
order asymptotic distribution of the test statistic is independent of
estimation error provided that the parameters of the model under test can be
estimated sqrt(N)-consistently. Because of this, our method can be used as
a
model selection tool and as a specification test. Widely used software
written by Dechert and LeBaron can be used to implement the test. Also,
this
software is fast enough that the null distribution of our test statistic can
be estimated with bootstrap methods. Our method can be viewed as a
nonlinear
analog of the Box-Pierce Q statistic used in ARIMA methods.
(For software info check
http://www.econ.wisc.edu/~blake.)
Note: Also, of related interest is the paper in the same issue,
Nuisance Parameter Free Properties of Correlation Integral Based Statistics,
P. J. F. de Lima,
Econometric Reviews 15(3), 237-259, 1996.
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