Nonlinear Correlograms and Partial Autocorrelograms*

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2005
Volume: 67
Issue: s1
Pages: 957-982

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This paper proposes neural network‐based measures of predictability in conditional mean, and then uses them to construct nonlinear analogues to autocorrelograms and partial autocorrelograms. In contrast to other measures of nonlinear dependence that rely on nonparametric estimation of densities or multivariate integration, our autocorrelograms are simple to calculate and appear to work well in relatively small samples.

Technical Details

RePEc Handle
repec:bla:obuest:v:67:y:2005:i:s1:p:957-982
Journal Field
General
Author Count
2
Added to Database
2026-01-24