Selection of Temporal Lags When Modeling Economic and Financial Processes

Nonlinear Dynamics Psychol Life Sci. 2016 Oct;20(4):445-69.

Abstract

This paper suggests new nonparametric statistical tools and procedures for modeling linear and nonlinear univariate economic and financial processes. In particular, the tools presented help in selecting relevant lags in the model description of a general linear or nonlinear time series; that is, nonlinear models are not a restriction. The tests seem to be robust to the selection of free parameters. We also show that the test can be used as a diagnostic tool for well-defined models.

Publication types

  • Research Support, Non-U.S. Gov't