The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
A test for independence based on the correlation dimension
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 -consistently. Because of this, our method can be used as a model selection tool and as a specification test. Widely used software1 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 analysis.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Simple technical trading rules and the stochastic properties of stock returns
BROCK, W., LAKONISHOK, J., & LeBARON, B. (1992) · The Journal of Finance · doi:10.1111/j.1540-6261.1992.tb04681.x · Cited by 2,301
Self-citation
Cited by
Analysis of Financial Time Series
(2006) · Technometrics · doi:10.1198/tech.2006.s405 · Cited by 2,348
Urquhart, A. (2016) · Economics Letters · doi:10.1016/j.econlet.2016.09.019 · Cited by 1,338
A new statistic and practical guidelines for nonparametric Granger causality testing
Diks, C., & Panchenko, V. (2006) · Journal of Economic Dynamics and Control · doi:10.1016/j.jedc.2005.08.008 · Cited by 962
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
The evolution of stock market efficiency over time: A survey of the empirical literature
Lim, K.-P., & Brooks, R. (2011) · Journal of Economic Surveys · doi:10.1111/j.1467-6419.2009.00611.x · Cited by 410
Metadata
- Authors
- Broock, W. A., Scheinkman, J. A., Dechert, W. D., & LeBaron, B.
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 1996-01
- Volume
- 15
- Issue
- 3
- Pages
- 197-235
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W1507259579
- Cited by
- 3,506
- References
- 2
- FWCI
- 115.77
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: A test for independence based on the correlation dimension. https://app.cochat.ai/papers/10.1080/07474939608800353
- The paper
- Broock, W. A., Scheinkman, J. A., Dechert, W. D., & LeBaron, B. (1996). A test for independence based on the correlation dimension. Econometric Reviews. https://doi.org/10.1080/07474939608800353
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
