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.

Recommended Citation

F. M. Aparicio and A. Escribano (1998) "Information-Theoretic Analysis of Serial Dependence and Cointegration ", Studies in Nonlinear Dynamics & Econometrics: Vol. 3: No. 3, Article 1.
http://www.bepress.com/snde/vol3/iss3/art1

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