Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5061460 | Economics Letters | 2009 | 6 Pages |
Abstract
In this paper we introduce a new method to detect lags in time series by using permutation entropy. The method is applied to several well-known dynamic processes. The good power performance of the new method in detecting memory structure/lags is notable and gives rise to an expectation that it may form a suitable basis for constructive specification searches.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Mariano Matilla-GarcÃa, Manuel Ruiz MarÃn,