A note on the SG(m) Test

ABSTRACT López et al. (Reg Sci Urban Econ 40(2–3):106–115, 2010) introduce a nonparametric test of spatial dependence, called SG(m). The test is claimed to be consistent and asymptotically Chi-square distributed. Elsinger (Reg Sci Urban Econ 43(5):838–840, 2013) raises doubts about the two properties. Using a particular counterexample, he shows that the asymptotic distribution of the…

Net energy analysis in a Ramsey–Hotelling growth model

Abstract: This article presents a dynamic growth model with energy as an input in the production function. The available stock of energy resources is ordered by a quality parameter based on energy accounting: the “Energy Return on Energy Invested” (EROI). In our knowledge this is the first paper where EROI fits in a neoclassical growth…

Identifying the Most Relevant Lag with Runs

ABSTRACT In this paper, we propose a nonparametric statistical tool to identify the most relevant lag in the model description of a time series. It is also shown that it can be used for model identification. The statistic is based on the number of runs, when the time series is symbolized depending on the empirical…

A permutation entropy based test for causality: The volume–stock price relation’

ABSTRACT The purpose of this paper is to propose a newly developed non-parametric test for linear and nonlinear causality based on permutation entropy and to show its usefulness in analyzing the potential causal relationship between trading volume and security prices. Most of the empirical applications and tests for causality rely on using Granger causality based…