[R] [R-pkgs] Package np update (0.30-6) adds nonparametric entropy test functionality...

[Jeffrey Racine]

Dear R users,

Version 0.30-6 of the np package has been uploaded to CRAN. See

http://cran.r-project.org/package=np

Note that the cubature package is now required in addition to the boot package. The recent updates in 0.30-4 through 0.30-6 provides additional functionality in the form of five new functions that incorporate frequently requested nonparametric entropy-based testing methods to the np package.

The new functions are:

- npdeneqtest
- npsymtest
- npdeptest
- npsdeptest
- b.star

A brief description of each:

npdeneqtest implements a consistent integrated squared difference test for equality of densities as described in Li, Q. and E. Maasoumi and J.S. Racine (2009), “A Nonparametric Test for Equality of Distributions with Mixed Categorical and Continuous Data,” Journal of Econometrics, 148, pp 186-200.

npsymtest implements a consistent entropy-based test for asymmetry as described in Maasoumi, E. and J.S. Racine (2009), “A robust entropy-based test of asymmetry for discrete and continuous processes,” Econometric Reviews, 28, 246-261.

npdeptest implements a consistent entropy-based test for pairwise independence as described in Maasoumi, E. and J.S. Racine (2002), “Entropy and Predictability of Stock Market Returns,” Journal of Econometrics, 107, 2, pp 291-312.

npsdeptest implements a consistent entropy-based test for serial nonlinear dependence as described in Granger, C.W. and E. Maasoumi and J.S. Racine (2004), “A dependence metric for possibly nonlinear processes”, Journal of Time Series Analysis, 25, 649-669.

b.star is a function which computes the optimal block length for a continuous variable using the method described in Politis, D.N. and H. White (2004), “Automatic block-length selection for the dependent bootstrap”, Econometric Reviews 23(1), 53-70 and Patton, A. and D.N. Politis and H. White (2009), “CORRECTION TO "Automatic block-length selection for the dependent bootstrap" by D. Politis and H. White”, Econometric Reviews 28(4), 372-375.

The function b.star is now used throughout the np package for automated block length selection for the stationary bootstrap (via the `l = ' argument in tsboot from the boot package).

Examples are provided for each function at the end of the respective man pages. We hope you find the functions to be easy to use. Kindly report any bugs, suggested improvements and the like to racinej at mcmaster.ca

-- Jeff

Professor J. S. Racine         Phone:  (905) 525 9140 x 23825
Department of Economics        FAX:    (905) 521-8232
McMaster University            e-mail: racinej at mcmaster.ca
1280 Main St. W.,Hamilton,     URL: http://www.economics.mcmaster.ca/racine/
Ontario, Canada. L8S 4M4

`The generation of random numbers is too important to be left to chance'

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