A general dependence test and applications

We describe a test, based on the correlation integral, for the independence of a variable and a vector that can be used with serially dependent data. Monte Carlo simulations suggest that the test has good power to detect depe ndence in several models, performing nearly as well or better than the BDS test in univariate lime series and complementing the BDS test in distribute d lag models. Finally, we apply our test in conjunction with the BDS test t o examine models of US unemployment rates. (C) 1998 John Wiley & Sons, Ltd.