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An efficient integrated nonparametric entropy estimator of serial dependence
Hong, Yongmiao1,2,3; Wang, Xia4; Zhang, Wenjie5; Wang, Shouyang6,7
AbstractWe propose an efficient numerical integration-based nonparametric entropy estimator for serial dependence and show that the new entropy estimator has a smaller asymptotic variance than Hong and White's (2005) sample average-based estimator. This delivers an asymptotically more efficient test for serial dependence. In particular, the uniform kernel gives the smallest asymptotic variance for the numerical integration-based entropy estimator over a class of positive kernel functions. Moreover, the naive bootstrap can be used to obtain accurate inferences for our test, whereas it is not applicable to Hong and White's (2005) sample averaging approach. A simulation study confirms the merits of our approach.
KeywordEntropy naive bootstrap nonlinear time series numerical Integration sample averaging serial dependence smoothed bootstrap
Funding ProjectNational Science Foundation of China[71401160] ; National Science Foundation of China[71371160] ; Ministry of Education of Humanities and Social Sciences Project of China[14YJC790120] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[2016003]
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS IDWOS:000406534900011
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Document Type期刊论文
Corresponding AuthorWang, Xia
Affiliation1.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
2.Cornell Univ, Dept Stat Sci, Ithaca, NY USA
3.Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Fujian, Peoples R China
4.Sun Yat Sen Univ, Lingnan Coll, Guangzhou 510275, Guangdong, Peoples R China
5.Cornell Univ, Ctr Appl Math, Ithaca, NY 14853 USA
6.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
7.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
GB/T 7714
Hong, Yongmiao,Wang, Xia,Zhang, Wenjie,et al. An efficient integrated nonparametric entropy estimator of serial dependence[J]. ECONOMETRIC REVIEWS,2017,36(6-9):728-780.
APA Hong, Yongmiao,Wang, Xia,Zhang, Wenjie,&Wang, Shouyang.(2017).An efficient integrated nonparametric entropy estimator of serial dependence.ECONOMETRIC REVIEWS,36(6-9),728-780.
MLA Hong, Yongmiao,et al."An efficient integrated nonparametric entropy estimator of serial dependence".ECONOMETRIC REVIEWS 36.6-9(2017):728-780.
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