Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/94293
Authors: 
Mizrach, Bruce
Year of Publication: 
1995
Series/Report no.: 
Working Papers, Department of Economics, Rutgers, The State University of New Jersey 1995-23
Abstract: 
A stationary stochastic process is defined to be locally independent if it eventually becomes independent of pastrealizations. I develop a simple nonparametric test for this condition. Size and power comparisons favor this statistic over the one proposed by Brock, Dechert and Scheinkman (1987) in samples under 250 observations.
Subjects: 
nonlinear dependence
U-statistics
JEL: 
C14
Document Type: 
Working Paper

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