title: Selection of Temporal Lags When Modeling Economic and Financial Processes.
abstract: This paper suggests new nonparametric statistical tools and procedures for modeling linear and nonlinear univariate economic and financial processes. In particular, the tools presented help in selecting relevant lags in the model description of a general linear or nonlinear time series; that is, nonlinear models are not a restriction. The tests seem to be robust to the selection of free parameters. We also show that the test can be used as a diagnostic tool for well-defined models.
authors.affiliation: Universidad Nacional de Educacion a Distancia (UNED), Madrid, Spain.
authors.forename: Mariano
authors.initials: M
authors.lastname: Matilla-Garcia
authors.affiliation: Universidad Aut&#998319;a de Cohauila, Mexico.
authors.forename: Rina B
authors.initials: RB
authors.lastname: Ojeda
authors.affiliation: Universidad Politecnica de Cartagena, Madrid, Spain.
authors.forename: Manuel Ruiz
authors.initials: MR
authors.lastname: Marin