A versatile and robust metric entropy test of time-reversibility, and other hypotheses
By Jeffrey S. Racine, Esfandiar Maasoumi. 2007
61 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- K. Lim
- R. Brooks
- Arthur Gretton
- Amos Golan
- Kacper P. Chwialkowski
- Jae Hyun Kim
- Eric-Jan Wagenmakers
- Amjad D. Al-Nasser
In Finance
- Arthur Gretton
- K. Lim
- Kacper P. Chwialkowski
- R. Brooks
- Amos Golan
- Bernhard Schölkopf
- Dino Sejdinovic
- Leila Wehbe
Citations in the corpus
- A Kernel Independence Test for Random Processes (2014, methodology): “…of KL-divergence to so called q-class entropies 1We distinguish our case from the problem of ensuring time series are independent simultaneously across all time lags, e.g the null will hold even if Xt = Yt−1 where Yt is white noise. e.g. (Granger et al., 2004; Racine & Maasoumi, 2007).”
- Information and Entropy Econometrics - A Review and Synthesis (2008, background): “detailed derivations within IT see Cover and Thomas (1991), the original work of Csiszar (1984, 1991), Sanov (1961) and the nice text of Dembo and Zeitouni (1998).”
- The Evolution of Stock Market Efficiency Over Time: A Survey of the Empirical Literature (2011, background): “Chen et al. (2000), Chen (2003), Racine and Maasoumi (2007) and Psaradakis (2008) provide additional TR tests to the literature.”