Aparicio, F. M.; Escribano, A. Information-theoretic analysis of serial and cointegration. (English) Zbl 1079.62539 Stud. Nonlinear Dyn. Econom. 3, No. 3, Article 1, 119-140 (1998). Summary: 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. Cited in 3 Documents MSC: 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) 62B10 Statistical aspects of information-theoretic topics 62P20 Applications of statistics to economics Keywords:information-theoretic statistics; long memory; cointegration; nonlinearity PDFBibTeX XMLCite \textit{F. M. Aparicio} and \textit{A. Escribano}, Stud. Nonlinear Dyn. Econom. 3, No. 3, Article 1, 119--140 (1998; Zbl 1079.62539) Full Text: DOI