Review of Economic Studies Vol. 58 No. 3 1991
Consistent Nonparametric Entropy-Based Testing
Abstract
The Kullback-Leibler information criterion is used as a basis for one-sided testing of nested hypothesis. No distributional form is assumed, so nonparametric density estimation is used to form that test statistic. In order to obtain a normal null limiting distribution, a form of weighting is employed. The test is also shown to be consistent against a class of alternatives. The exposition focuses on testing for serial independence in time series, with a small application to testing the random walk hypothesis for exchange rate series, and tests of some other hypotheses of econometric interest are briefly described.
- DOI
- 10.2307/2298005
- Volume
- 58
- Issue
- 3
- Pages
- 437
- Sources
- bibtex:phds-export.bib crossref openalex