A test for independence based on the correlation dimension

A. Broock, W.; A. Scheinkman, J.; Davis Dechert, W.; LeBaron, Blake

doi:10.1080/07474939608800353

Public

A test for independence based on the correlation dimension

Published in Econometric Reviews • Jan 1, 1996

Authors:

W. A. Broock

J. A. Scheinkman

W. Davis Dechert

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...

Subject

Test statistic

Independence (probability theory)

Independent and identically distributed random variables

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